Here's my solution, and it might be helpful to others looking for an inexpensive, DIY Pen F adapter.
The "trick" that makes it easier is by using two (or more) step up rings. The step-up rings can be used because the Pen F lens mount is going to be smaller than any lens mount that you want to add to it.
I'm dealing with Minolta lenses, but the approach will be the same with other lenses -- although the distances and diameters will vary for Nikon, Canon, Pentax, etc.
I started out by getting a Pen F lens mount and a Minolta camera mount. There are lots of options here, and many have been mentioned above, such as old or broken extension tubes, lens adapters, lenses or cameras.
The Minolta camera mount that I chose is from the Minolta Extension Tube II set. You can get these for under $10, and they don't have to be in mint condition. The mount from this set is the thinnest mount that I could find that retains the lens release button. It's only TWO millimeters thick!!!
The same is true for the Olympus lens mount -- it can be in pretty bad shape -- and it might not need the lens release button. The one I found lacks the lens release button but fits perfectly -- without any fear of slipping off.
The front of the Olympus lens mount that I have is a perfect match for the rear of a 49mm step-up ring, and the rear of the Minolta camera mount that I have is a perfect match for the front of a 58mm step-up ring,
So all I did was combine a 49-55mm step up ring and a 55-58mm step-up ring in between the Olympus lens mount and the Minolta camera mount. A 49-52mm step up ring and a 52-58mm step-up ring would have worked just as well -- as would a 49-52mm step up ring and a 52-55mm step-up ring and a 55-58mm step-up ring, if more space is needed.
It's critical to get the distance right, of course.
The genuine Olympus Minolta to Pen F adapter that I have is 14.5mm thick -- so that was my goal. The Olympus lens mount and the Minolta camera mount that I found have a 3.5mm total width, so I need step-up rings that add 11mm total distance in between.
Step-up rings vary slightly in thickness, but one advantage of using TWO (or more, if needed) step-up rings is that they can be adjusted slightly to produce the correct amount of depth. A little epoxy will cement the depth, once it is established.
I was able to find two step-up rings that created the correct depth that I needed using a caliper. I then attached a 200mm lens (equivalent to a 300mm in half-frame) -- focused at infinity, to verify that the depth was correct for infinity focusing.
The last step before epoxying it all together was to make sure the Minolta lens index mark was on the top of the adapter (when attached to the Pen F camera).
The only thing I'll add is that you should check the adapter for light leaks. A little bit of black silicone sealant should do the trick. I had to plug three screw-holes in the Pen F lens mount -- but since they were inside the camera that was really not necessary.
The total cost will vary depending on what you already have. Mine cost me about $20 -- about 1/10th of the real McCoy.