One comment that was made in my recent article was about buying bonds directly. While its true that buying bonds and holding it to maturity does eliminate price risk, to some degree you are still losing out via opportunity cost. While I don't suggest it in general due to the amount of time/cost/effort to actually buy a diverse set of bonds, nevertheless it is an option.
You can generally buy bonds thru most brokerage accounts. Note however that many of them have minimum quantity requirements and majority of them sell in increments of $1,000 (yes, not all are $1k but whatever).
In my brokerage accounts, generally the minimum orders are $1k per bond with minimum quantities of 5-10 bonds per order.
Treasurydirect.gov however is a US government sponsored website that allows you to buy and redeem directly from the Treasury in an electronic format. I have not opened an account there but it at least advertises minimum orders of only $100 and is sold in increments of $100. That's the lowest I've really seen. Keep in mind, to form a nice do-it-yourself bond fund (including duration laddering, mix of corporate, municipal, inflation, international, etc) you have to buy a pretty decent number of bonds. As many brokerages require a significant chunk of money per type, it quickly becomes prohibitive in my opinion to make one. Your mileage may vary however if you found better deals yourself with however you do trading.