If Gandalf had attempted to make a ring such as Sauron's, he would have faced the same problem Sauron did: it took what is described as "the better part of that strength that was native to him in his beginning" for Sauron to make the One and make it an effective tool. But doing so left him vulnerable, as I said before: if the ring was taken and destroyed, all that power that was his very essence would be lost, and thus he himself would be diminished "to the vanishing point," as Tolkien put it.  And as Silverlode points out, the rings in general were a mistake; they were an attempt to use power to change the natural course of the world, what it was "meant to be."  Even if he managed to make a ring that could do good rather than evil, Gandalf would be imposing his notion of how the world should be by artificial means -- a major sin, in Tolkien's mythology.  Ultimately, any such project would fail, because it did not have its source in the Great Music that made and defined the world; it would have its source in the will of a single person.

And Silverlode is also right about Unfinished Tales containing more detailed information about the Istari, their mission, and its planning.  It's all in the chapter "The Istari" (catchy title) and it quite interesting.