Ahhhh you have much to learn Grasshopper. On shortwave, frequency and time of day / year is MUCH more important than power. That said, most home builders are happy with the 10-20 watt CARRIER power level, although a lot of good transmissions have been made with much less. A few places where you can start your building quest:

for the beginner: [makerf.com]

the next step: [www.angelfire.com]

That should keep you busy for awhile. Building RF circuits is a step or two more difficult than DC or digital circuits so be patient and open-minded if you decide to go that route. Buying a transceiver is much more expensive. However, when you factor in your time and the "headache factor", it might in the end be cheaper to buy. Good luck!