I had the same problem for a long time, and have finally broken through with a set up that works for me. I built a small smelting furnace using six soft 1" thick white furnace bricks I bought on Ebay, with free delivery for like $28.00 (I think), a handmade propane forge blowtorch tip for $50.00 or so (others go for $60-100), a high pressure regulator ($20 I think), a large almost full BBQ propane tank I found off a free BBQ ($0.00), some stainless steel mesh from a salvaged outdoor heating lamp ($0.00), and miscellaneous scrap steel pieces ($0.00).
I was sure in for a surprise when I first thought a propane torch would do fine. I now also have a Mapp gas set up with the t-8000 Bernzomatic tip. I'd love to have an oxy acetylene kit too, like Sreetips uses, but I haven't found an affordable one yet. You have to keep looking and unfortunately shell out some dough. I found the small forge I made helps keep the heat in a smaller area, where it doesn't escape so quickly. I also have an entry level mig welder that I used to clad my forge in scrap sheet metal (from computers), so that it doesn't crumble. This was my fourth attempt at a forge I think. It takes what it takes.
Here are some pictures. The forge looks a bit rough but it's solid. My welding skills are only adequate, and the black paint and extra refractory cement I put on surfaces peeled off in the heat. That refractory cement doesn't seem to work very well in my experience.