Before building a custom kernel, consider the reason for doing so. If there is a need for specific hardware support, it may already exist as a module.
Kernel modules exist in /boot/kernel and may be dynamically loaded into the running kernel using kldload(8). Most, if not all kernel drivers have a loadable module and manual page. For example, the ath(4) wireless Ethernet driver has the following information in its manual page:
Alternatively, to load the driver as a module at boot time, place the following line in loader.conf(5): if_ath_load="YES"
Adding if_ath_load="YES" to /boot/loader.conf will enable loading this module dynamically at boot time.
In some cases, there is no associated module. This is mostly true for certain subsystems. One way to tell if a driver is available is to check for the module itself.
Warning: It is easy to remove support for a device or option and end up with a broken kernel. For example, if the ata(4) driver is removed from the kernel configuration file, a system using ATA disk drivers may not boot. When in doubt, just leave support in the kernel.