You can create your own custom pastel sizes that fit your hand and the techniques you like to use. Not only that, you learn a great deal about color during the process and can make them cheaper than buying commercial pastel crayons. Another advantage of being able to make pastels is that you can make your pastels as soft or as hard as you would like them to be.
Commercial pastels have to be made hard enough to withstand breakage during shipment.
Because you do not have to concern yourself with shipping you can make softer pastels which are more yielding and do not dig into the under-layers as much as the harder pastels do. The paint quality will be richer, and the colors more intense. The softer the pastel, the easier it is to make thick layers of color. Light colors can be applied with real impasto effects, which are especially brilliant with soft pastels. Knowing what goes into your pastels is another advantage.