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The Controller (Stepper Motor Controller)

HobbyCNC 4 Axis Chopper Board Kit

A CNC controller (sometimes called a Stepper Driver or Chopper Board Driver) is the device that uses signals from the computer to move the stepper motors and create motion on CNC. You can buy controllers already made and ready to go. Gecko makes some very good ones, but they will be about twice as expensive as making your own. I made mine by ordering a kit from a company like HobbyCNC.
What I ordered was the HobbyCNC 4 axis kit and all the parts to make a controller (i.e. the huge capacitor, a bridge rectifier, a transformer, a cooling fan, an enclosure, and the stepper motors themselves). You'll need to be able to solder double sided PCB (printed circuit boards) to assemble this kit. If you've never soldered before, it is good brush up on your skills before you get started. While it is very daunting at first, with a little practice you'll get the hang of it.
If you are new to soldering, I'd recommend getting the 40W iron from Radio Shack, some thin gauge solder, and some de-soldering braid and... practice, practice, practice. The first thing I practiced on was an old clock radio. I plugged it in to make sure it was working, unplugged it (and even wrapped tape around the plug, so it didn't accidentally get plugged in) and then I took it apart. I took pictures along the way so I would know how it went back together. I de-soldered every componet out of it... all the resistors, capacitors, transistors, and IC chips. Then I soldered them all back in... I plugged it in. I got a passing grade on this little test because the thing actually worked.
Seriously, you have to be careful with electricity. This stuff can kill you. In a CNC controller, you are working with high voltage. Very large amounts of electricity are getting bounced back and forth between the capacitor and the stepper motors. Never work on circuit boards when they are plugged in... If you have to adjust something while the controller is "hot," you must know where the exposed wires are and stay away from them. Use shrink tubing and electrical tape to cover any exposed wires as you are building up the circuit board. One of the most important components for safety is a resistor installed across the terminals of the huge capacitor. Don't forget this. This will bleed down the capacitor once you've turned the controller off. Another very important thing to remember with this controller is not to unplug any stepper motor while the controller is on. That will blow the controller chip and you'll need to replace it. I always let the unit sit over night before unplugging a stepper or working on the unit.

Completed Controller Box