I was wondering, if my car was stolen and never found again, I would obviously loose my docking sled. And without it, my empeg would be just a cool gadget to hook up to my home stereo.
So, given the fact that there are no more spare docking sleds available, would it be too dificult building one? Maybe starting with an existing docking sled from one old removable stereo and then modifying it extensively... any lights about it?

There are sleds still available.

https://www.empeg.com/store/acatalog/Empeg_World_Sales_Car_Player_Accessories_1.html

Only the Mark1 docking sleds are rare items. There are still Mark2 docking sleds that can be purchased.

If you have a Mark1 and that's why you're worried: The Mark1 docking connector is an off-the-shelf item which you might be able to replace, its wiring pinouts are well-documented. Then it's just a question of machining the sheet metal.