Sam couldn't have built his own boat as he lacked the skill. He was barely unable to sit in a boat with the fellowship. He would have gone to the Grey Havens and caught one of the other elven boats going to Valinor. The boat the ringbearers were on was not the last boat to sail as there were stil thousands of elves left in middle earth. Anyway Cirdan wasn't on the boat and it says that he will go west on the last boat.
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His sword was long his lance was keen
His shining helm afar was seen
The countless stars of heavens field
Were mirrored in his silver shield
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