You still buy through a dealer but do the pick-up instead of having it delivered. Not all manufacturers allow customer pick-up, and those who do generally charge extra for doing the delivery process at the factory. It may be worth it, though. I've heard that American Coach does a fabulous job of it, providing a couple days time with a tech team that makes sure everything meets your satisfaction.
As for ordering, it's no different than any factory order. The dealer works through the build options with you and you negotiate a price for that rig. When you agree, he places the order and you wait. Some manufacturers will allow you to view it on the line, others do not.
2004 American Tradition; 2014 Buick LaCRosse
Homebase in the Ocala Nat'l Forest near Ocala, FL