Taking a completely direction, my wife and I made our own wedding rings out of stainless steel (a low-nickel alloy suitable for contact with skin -- 316L, I think), and we milled them on a lathe in my employer's machine shop after hours. Nearly 20 years later, and they have held up remarkably well.
If you're going to lathe a ring, make sure you do as much shaping and polishing before you detach it from the rest of the rod, and then create a mandrel that is the correct size to hold the ring (using friction) from the other direction. Hammer it onto the mandrel, do your final burr-removal and polishing, then pop it off the hammer.
Important side note: Don't do a test-fit before taking the burr off, or else you'll slice the skin on your finger all the way 'round in a very nice ring-shaped pattern and it will be the absolute dickens to try and get it off. Maybe don't ask me how I know...