The single best - not easiest - or fastest - way to build a monolithic kernel requires a few steps:
First, choose, aquire, and unpack the kernel source to /usr/src/ .
Next, configure the kernel to be entirely modular. This means that you compile every option as "M". Don't forget make modules and modules install.
Now, configure your bootloader, and boot the new kernel. This point of this is that by default, your kernel will support none of your devices. You must load the modules one by one until you find what works for your hardware. When you have found a stable, working config for a device, run an lsmod, and note the loaded mods for that device. Do this until everything works, and you have a complete list of all the modules needed to run your box.
Then, go in, and we'll compile the kernel again, this time choosing only the modules we need, and compiling them in, instead of making modules. You must also say no to kmod_support and module version support. Throw in anything else that you desire in the kernel, (Networking, File Systems, etc....) and then compile. Don't run make modules or make modules install. Just dep, clean, and bzImage.
Now, change your bootloader to reflect the monolith. In grub, add the following to the "kernel" line
Or into lilo (place it just below "image")
You now run one big block of a kernel.
I should tell you, however, that if you are running a proprietary box (you didn't build it) chances are, someone has already done this. Google:
"linux on your_machine_make_&_model_here"
It should return pages devoted to optimizing a kernel for your chipset.