There's no need to "build" anything for this purpose. Just buy a general-purpose microcontroller like this:
http://www.freetronics.com.au/products/leostick
...and stick it inside a generic keyboard (which has plenty of room).
I always thought that the fact that big corporations hand out the same keyboard to everyone enables these sorts of attacks. Any would-be spy could just make a handful of hardware key-logging generic HP and Dell keyboards and easily swap out any given keyboard at any given big company without having to even think.
I never use my employer's provided mouse/keyboard combo. Mostly because they're always absolute crap but also because I want to give any potential attackers a hard time. I can only imagine the look on some attacker's face when they show up at my desk and see custom hardware everywhere =)
