I was pricing the sign out and was wondering if it would be cheaper to make. Yes it would need to light up and it would have to be switched on off stage manually or through a switcher pack connected to the  board.

Being in the business of making technical theatre props and set pieces, I make "ON AIR" and "APPLAUSE" signs for the radio plays that seem to be popular these days.  Like MartyW above, I start with a four inch deep wooden box with two incandecent bulbs wired  to a power cord out the back of it.  The front is made with a piece of WHITE Plexiglas that has the black plastic stick-on letters (or for a reverse effect, the sheet the letters were cut from) we have made at Fast-Signs, a near-by sign shop that can cut any font/size letters with a computer and "plotter" that has a cutting tool instead of a pen.  Once the lettering is in place, I front the whole thing with a piece of 1/8" clear Plexiglas to protect the lettering.  The lights can be controlled by the board or a simple switch module back stage.  I have left a few small "details" out of this description, but that's what makes ours a little better than some (trade secrets, don't you know?).  Sorry I don't have any photos to offer, but this will definitely give you a nice "ON AIR" sign.  Good luck with whatever you do.