It really is cheaper, very cheap. Actually, it all depends on a few things before you can say it is cheap. You have to get the parts (compressor, condensor, evaporator, all the parts of an AC unit) first. You can get an AC unit from someone for free usually when they think it is broken. More often than not, they have just lost their charge and need to be recharged. Not difficult. All a phase change system really is when you boil it down is a modified air conditioner.
If you have the air conditioner, than the other things you have to buy wil come at minimal cost. An evaporator (you can buy one for $100 or make one for $5 or anywhere in between) capillary tubing ($10-$15) and some elctronic stuff and miscellaneous. I've seen them done for as little as $65.