The only problem I can see with trying to roll your own fuses is duplicating the alloy used in the fuse
element. An internet search reveals that most fuse elements are designed to have a low melting point and in some instances are the same alloy used for soldering, a 63% tin and 37% lead alloy. Unfortunately I could not find a single instance where a pure copper wire was used as a fuse element. The other problem that would rear its head would be soldering that tiny piece of solder to something in the fuse holder.
I have heard an improvement in the sound of a fuse when I stripped off the nickel plating exposing the brass body and treated the fuse with Caig ProGold. The best sounding conventional fast blow fuse I found had a lightning bolt shaped element. Of course Bussman stopped making this shape of fuse element a few years ago.
Scotty
"an internet search..."

of course, that's where i got my info, as well. who knows?

all i know is that wire fuses are relatively old technology, replaced by what we see now. but, regarding the need to duplicate the alloy of the new style fuses, the info i got regarding size to use was strictly referencing
copper. not sure how one could test it, other than to experiment w/something of a known load, and use smaller wire, and see if it blows or not. or maybe contacting a mfr directly, and ask their tech engineers. regarding soldering, it seems it would be easy enough to solder directly to the board where the fuse holder is soldered, or simply use a non-metallic dowel of wood or plastic, w/the wire forced to the fuse connector, yust like a regular fuse. i actually did this once as a temporary fix, w/a fine strand of copper, when a fuse blew in one of my step-up transformers, and i didn't have a spare fuse handy...
ymmv,
doug s.