If you don't have much experience climbing on indoor walls, try to visit as many different climbing gyms and home walls as you can before designing your own wall. Try to record some basic measurements from the walls you like. The more experience you have on other walls, the easier it will be to design your own.
Evaluate Your Space
Look at the space you have available to build wall and decide how to use it most efficiently. Make sure you consider what else the space may need to be used for. If it's a garage, do you need to leave room to park the car? Is it also a storage area? You can design and position the angles of your wall to fit over and around a parked car or you can build shelves into the backside of your wall for storage. If the wall is indoors, you'll want to maintain access to electrical outlets and to the back of the wall to make any necessary repairs to the T-nuts once it is finished. Make sure you consider lighting, ventilation, and access at this point. If you have to cover up windows or doors to build your wall, you'll need to find alternate lighting, ventilation and access sources.
When choosing your space, remember that falling is noisy and chalk gets everywhere. If it's indoors, try to isolate it as much as possible from your living space, especially if you share your dwelling with non-climbers. If you're considering an outdoor wall, remember that you'll have to weatherproof it somehow, and no matter what you do, the holds won't last as long as they would inside.
Decide how you will support your wall
Attaching your wall to an existing structure will eliminate some support braces, and be easier to design and construct, but will lock you into that location. The existing structure becomes part of your design. You must also ensure that the existing structure is strong enough to support the additional stresses the bouldering wall will add to it.
A freestanding bouldering wall will not damage an existing structure and it will be easier to transport if you need to move. A freestanding wall is best if you are renting or do not have a suitable preexisting structure to anchor into. Constructing a freestanding wall will cost more than a fixed wall and will be more difficult to design. You must take on the additional responsibility of engineering a support structure. All the stiffness inherent in attaching the wall to a rigid structure will be lost. You must compensate by using wider framing materials and additional bracing.
Build a Model
Now that you understand the space you're working with, try to visualize the basic shape that you want your wall to take. Imagine what different shapes, sizes, and angles would look like in place. Make several rough sketches of different ideas to see how it will all fit together. Once you have decided on the climbing wall's shape, location, and orientation, build a scale model with cardboard or foam board.
When choosing your wall shape, consider that certain shapes and angles tend to produce similar moves and limit variety. Horizontal roofs and vertical walls are notorious for feeling the same no matter what kind of hold or move you try to put on them. Curves and complex shapes can also lead to stiflingly homogenous climbing if you're not careful. These kinds of features look interesting when they're new, but get boring quickly. Flat, overhanging walls of between 20° and 45° seem to allow for the best variety of moves.
Think of your wall as a series of eight-foot-wide modules. According to how much space you have available, identify 1 or more basic wall shapes that you want to include in your design. Basing these modules on 8' widths (1 full sheet of plywood) will make construction much easier and ensure good material yield, keeping the costs down. Play around, arranging these primary walls in a variety of different configurations until you're satisfied with the result. When positioning your walls, remember to leave enough room to fall from any given point without hitting another wall.
For any walls steeper than 20° or 30°, plan to have a short, vertical kicker panel at the bottom to provide ample room for your feet at the start of problems.
Now design secondary walls (or panels) to fill the space between the primary walls and tie them together into a seamless climbing structure. If your primary walls abut, you can simply make triangular panels to form 90° corners between them. If primary walls face each other, turn corners, or bridge doors, windows, or other structures, the secondary walls may need to be more complex in shape.
Lay it out
Transfer your model's dimensions to a drawing, then use string and tacks, or tape, to mark the positions of all the design elements, full-size, in your actual space. Hang a plumb line from the ceiling to mark the border of each wall. Allow for the width of the anchoring structure, thickness of the wall studs and thickness of plywood sheathing. Verify that everything fits. Double check that all potential falls or swings will be clear, and make sure that any necessary doors, windows, light fixtures, and electrical outlets are accessible. Revisit the earlier questions and make sure you get the same answers: Will there be adequate ventilation and light? Will chalk dust affect your living space? What about other uses for the area? Does the car still fit in the garage? Will your shelving work?
Make sure you have enough area to assemble the pieces separately, fasten them together, and stand them up. Try to allow about twice as much working space as the wall will require when finished. This, of course, will vary based on the degree of overhang and height. Make sure you have enough clearance to stand the wall up without getting it wedged against the ceiling before it is in place.
You can roughly estimate the material cost (not including holds or paint) of your wall by multiplying twice the number of full sheets of plywood in your design by the cost per sheet. For example, 3/4" ACX plywood might cost $42 a sheet. If your design uses 4 sheets, your cost estimate will be (2 x 4) 42 = $336. If the budget still looks OK, it's time to use your dimensional drawing to assemble a comprehensive materials list.
Before you make your list, you must determine the necessary sizes and types of materials and how each type of material will attach to the others. Use 3/4" ACX plywood for the sheeting. This is a high-grade, exterior plywood. Lower grades of plywood have more voids in the inner layers, so it is quite possible to rip T-nuts right through the sheeting while climbing. Nothing thinner than 3/4" is strong enough, and all US hold manufacturers base bolt and T-nut lengths on 3/4" sheeting.
Framing studs will run vertically every 16 inches behind each wall, as well as at the top and bottom, to form the framework. An 8'-wide wall will require nine studs (seven vertical studs spaced 16 inches apart as well as a top plate and bottom plate). Optionally, the vertical studs can be spaced 24 inches apart rather than 16, which will allow for more T-nut placements, but wider studs must be used, and the plywood sheeting will be prone to flexing. While short, vertical walls can be framed with 2"x 4" studs, overhanging walls must use wider, stronger framing materials. The required size of framing materials is determined by both their span and the load they must bear. Slightly overhanging walls should use 2"x 6" or 2"x 8" studs and steeper walls or those taller than 8 feet must use 2"x 8" or 2"x 10" studs. When you buy framing studs, sort through the stack and pick the straightest ones with the fewest knots.
Assemble your wall with self-drilling decking screws, which hold better and, in case you make a mistake, are easier to disassemble than nails. Use #14 x 3-1/2" (or 4-1/2" if screwing through drywall) screws to anchor header joists or plates to your support structure, #12 x 3" screws to join framing members, and #8 x 2" screws to attach the plywood to the framework.
Don't use drywall screws or hardened screws which are brittle and prone to failure in this application. You should also have a pound or two of 16d nails for temporarily tacking framing members and for spots that you can't access with the screw gun. Depending upon your support structure and configuration, you might need a variety of other materials. The list below will provide a few ideas.