PM "gis". He might be able to give you some insight on this.
I will say first that I am not a lawyer, and this is not legal advice. Here is what I know. See the following link for PWC hunting/discharge regulations:
http://www.pwcgov.org/default.aspx?topic=010011001120000710
My understanding is that you have to be over 100 yards from the nearest road, right of way, and occupied dwelling which is not your own. I interpret it to mean that your projectile can't come closer than 100 yards at any point. Obviously, it's best to be shooting away from those things.
I don't know what you mean by "building a range", but I would think that putting down one or more piles of dirt to act as back stops doesn't qualify as "building". If you want to put up buildings, safety walls, etc., you may be opening yourself up to various construction related regulations. An indoor range is a huge hassle. There are all kinds of EPA and health regulations that require expensive equipment (fans, filters, etc.) and are cost prohibitive. I know you said that this was for personal use, so business regulations and licesing wouldn't apply. Lastly, if you are in a city, they may have their own regulations regarding discharge and other things, so I would check that too.
I would talk to a lawyer and let him comment on your unique set of circumstances. The VCDL site has a good list of VA pro-gun attorneys. I would find one in PWC. However, I hope that this information is useful.