OK I've got to ask: When you mean 'arbor' do you mean (A) the wheel adapter that fits the taper on your spindle? -OR- (B) do you mean a spindle that you put the mounted wheel on, in order to balance the wheel?
If A, then it is a lot of finiky work to make a balancing adapter and weights, and the $250 is generally worth it. If you are mounting a diamond wheel then you don't need as balancing adapter, because the wheel is mostly aluminum, and rarely out of balance.
If B, I have to make one for my grinder, but it is very straightforward turning job on the lathe, with tight tolerances on the taper. Since you only ever need one, it is very worth it to make one. A couple of hours for a skilled machinist.
You can static balance on your lathe if you make the arbor long enough to rid on a pair of parallels placed on the flats of your ways.