CE Marking applies even if it is for your own use

Whilst CE marking was introduced primarily for trading within the EU, it applies even if you are making machinery for your own use.

The Supply of Machinery (Safety) Regulations 1992 had clause 11 which stated that,
"Where a person being the manufacturer of relevant machinery, himself puts that relevant machinery into service in the course of a business, for the purposes of these Regulations that person shall be deemed to have supplied that relevant machinery to himself."

This was removed from the Supply of Machinery (Safety) Regulations 2008, but it's still a requirement because they define a manufacturer as including,
"A person who designs or manufactures machinery or partly completed machinery for that person’s own use in an EEA state."

So, you still have to go through the CE assessment process even if you are not intending to sell the machine.

You can see how to do this at http://www.strategicsafety.co.uk/CEMarking.html