If you know of an easy supply of islands that aren't already claimed by some country, I'm sure they'd love to hear about it.
Unfortunately, Tonga claimed the island and kicked them out.
Generally, some nation will come and take it from you. Wolf Hilbertz developed an technique to electrically accrete limestone out of sea water and was using it to build a micronation, but it was almost certain that it would be seized by Mauritius when it broke surface.
http://en.wikipedia.org/wiki/Saya_de_Malha_Bank#Artificial_i...