Though we never see Rey create her new yellow lightsaber in the film, we can safely assume that she created it herself. One of the milestones of becoming a Jedi includes building your lightsaber, and given that all of the former Jedis are dead (Luke, Leia, Yoda, Obi-Wan, etc.), it is safe to assume that Rey built it on her own. From the brief glimpse we get, it looks like she used the end of her trusty staff as the lightsaber's emitter and wrapped the centre grip section with the same cloth that has been part of her ensemble since we first saw her in The Force Awakens.