Yes, if you price out all of the parts from Lycoming for an IO-540, it will definitely cost more than a complete engine, but one can certainly be built reasonably and for less than a new one. The key is to buy a rebuildable core, or at least a near-as-complete engine, which is why my reference to Gary Barber who is a good source for "basket kits".
Another advantage is to build the engine exactly the way you want, which could include custom EFII, cylinders, compressions, exhaust, cam grind, intake, etc... my engine would be considered very custom in that regard, hence the IO-540-X designation (although I could have labeled it "Millennium Falcon 2" if I desired). Now, you can surely have someone else build the engine the way you want too, but THAT will cost substantially more than a base engine.
Some folks just want to buy a complete engine, for any number of reasons. But the main features of experimental aviation are recreation and education, so I say enjoy your build - get an overhaul manual, get help, ask lots of questions, learn, recreate and have fun. You'll know a lot more about your engine as a result.