I recommend to order PCB based on your layout (Gerber files) at some "online PCB fab". Each time you can prepare order with several prototypes on a single PCB to try several design ideas. Manual etching, CNC machining and cutting with knife takes a lot of time, and only makes sense if you pretty experienced already, and want to save some money by making prototypes on some Rogers substrate (ro4350), for which manufacturing prices usually much higher.
Generic 1.0mm thick FR4 substrate works very well at 10GHz and usable up to 30 GHz when used with grounded coplanar waveguide (GCPW) lines, microstrip lines, and substrate integrated waveguides (SIW) and similar structures. SIW cavity resonators and GCPW to SIW transitions kind of lossy at 25 GHz, but works and may be used for learning purposes or some real tasks. I had a lot of practice with FR4 prototypes at 10GHz, measured them using cheap board modules: 10GHz VCO, hmc363 frequency divider and logarithmic power detector. Filter measurement: VCO+power detector, custom filter board inbetween; custom VCO measurement: hmc363 + cheap 2.4GHz frequency counter, logarithmic power detector, custom patch probe with SMA connector, custom patch antenna for VCO; etc. Air-filled (AFSIW/ESIW), GCPW and ridge gap waveguide (RGW) structures have much lower losses and probably will work even above 30GHz, because fields are kept out of lossy dielectric. I've seen one manufacturer provided FR4 datasheet material characterized up to 10GHz. With stepped prototyping, EM simulation and/or some analytical formulas you can characterize FR4 substrate from any PCB fab. You can even put additional test line on each prototype board and measure it if required: (sma)-(gcpw)-(siw resonator)-(gcpw)-(sma). Use 1.0mm board for frequencies below 12GHz, and 1.0mm or 0.6mm for frequencies above 12GHz. Generic FR4 material problems for commercial use at 20GHz and higher: glass fibers will mess with field distribution, dielectric constant may drift noticeably as temperature changes. Losses are often not so important if structure is physically small.