Making coconut flour is not very difficult and it has the added benefit of being much cheaper than when bought from the store.
First you want to take your coconut, fresh or dried and make coconut milk. Here are the instructions for making coconut milk. At the end of the coconut milk process, you will want to strain the fibers from your milk, these you will use to make the coconut flour.
Heat your oven to 200° Fahrenheit, spread the coconut fibers out evenly on a baking sheet and bake until fully dry. Check often to make sure you do not burn the coconut. You could also use a food dehydrator if you have one.
Once your coconut is dry, remove the fibers from the heat and let cool. Place the dried fibers into a food processor or spice grinder and grind until the flour is smoother.