Download the kernel source, once unpacked you can configure it to build only the modules you have currently loaded via "make localmodconfig".

Of course if you've never built a kernel before you'll need to read the documentation, and you'll probably want to look at the Ubuntu documentation too - since you'll want to build a .deb package, rather than a raw kernel. You'll want to search for "ubuntu make-kpkg".

But really you're not going to gain much, except learning. Sure a kernel with less stuff available might save disk space, but there are easier ways to save disk-space on Ubuntu systems..