It is legal to build your own gun so long as the gun you build does not violate any of the laws governing firearms in general. That means in CT you can build a gun so long as it doesn't violate CT's asinine AWB rules. It also means it must not violate NFA without first getting a tax stamp, if what you are building qualifies for it. And of course, 922r. You could build your own custom 1911 from a raw slab of steel, if you so wish.
In the case of handguns, you also need a carry permit to be able to carry it with you out of your home.
In the case of buying an already manufactured receiver and just slapping a different slide on it, that's fine. The receiver is already stamped and serialed. Anybody can put a .22lr conversion kit on an already built receiver. No legal song and dance required.