This probably doesn't help you much, but I had a friend who did this.
One problem he ran into was that he and his advisor differed on what his major meant/was despite the fact that it was a major he created. (How could she say what it was supposed to be if he created it? )
However, he had some great professors who understood what he was trying to accomplish and backed him up. It wasn't easy though, and he ran into similar problems throughout (e.g. when he was working on his major project, he again ran into people who wanted to define his project a certain way when that was not in-line with what he was working on).
I created my own major in Ethnomusicology (a graduate discipline that basically studies the connections between music and culture), it's been an extremely valuable experience as I've been able to take courses which I otherwise would not have been to doing my previous double major in biochemistry and music. Right now, I'm finishing up my thesis and it's been awesome having advisors in different departments (music, anthropology, and sociology) and fusing different disciplines to examine a specific topic (in my case music, cultural preservation, and health promotion). If you have the time/room to create your own, seriously consider it. PM more if you have any qeustions.