I started with some pieces of those wire cube sets that they sell at Target and WalMart:
Two whole pieces made the front and the back, and then I used my trusty hacksaw to cut the side from one panel.
You can see in this closeup that there is a one-grid-wide strip running down the side:
I held it together with zip ties (love those things!), strung wire from the top, and hung it from two Gorilla hooks. I used the connectors that came with the set for the back, so that the whole thing would be a little bit removed from the wall. That way, there are two squares holding each bottle.
Craft paints fit in nicely, but my one-ounce bottles of Golden fluid acrylics fit perfectly, since the shoulder of the bottle catches the front grid.
It's been up for a couple of weeks now, and I love it. I can see the paint color from the dabs of paint on each cap, so it's easy to find the right color, and it's vertical storage, which saves space--love it!