No, you can't build cheaper. Not the first time, anyway. Every OEMs gets better pricing than you'll ever get. So your first time build costs will be higher.
But you save money in the long run when you start to upgrade.
You generally can't upgrade an OEM system very far; so you end up having to buy a whole new system. But if you built your own system with upgrading in mind, you just have to get a motherboard and processor. Or maybe just a new video card, rather than a whole new system. So, no, you can't build your first PC cheaper, but you will build your next PC cheaper.