The "kernel-baking" help page should mention how to build header and debug packages

[Michael]

Since the sort of people who would need to build their own kernel are also quite likely to need to build modules on it and/or do debugging stuff (SystemTap) with it, it seems reasonable to mention the kernel_headers and kernel_debug parameters to make-kpkg.

[Michael (michaeljt)]

And a slightly different issue, but one that I will tag on to this bug - the instructions on that page will not build a working kernel package for Lucid, as the initrd will not be created at package install time. See my note in https://help.ubuntu.com/community/Kernel/Compile regarding this (search for "--overlay-dir" in that page).