Dave over at Notes and Volts has published a great series of DIY tutorials called Teensy-Synth.
In the first episode Dave walks you through assembling your Teensy and Audio shield and how to use the audio library. He also makes code available to help you get going.
The next 7 episodes progress to controlling your synth with Pure Data software, connecting a USB-MIDI keyboard, code optimization, adding an ADSR envelope generator, adding waveforms, filters, pitch blending, and more.
If you want to get started building your own synth, this series is a great place to start.