I want to add some methods in System.Net.HttpWebRequest class to suit my needs. I tried reflection but it is quite complicated that I need to alter many of its member class method as well.
I am debugging through .NET reference source and I could view the source code of those class. Is it possible for me to copy each of the related class source code and build my own class?
For some classes yes, but for many no.
.NET classes frequently use internal classes that are not exposed publicly, you would not only need to rebuild the class you are interested in but also rebuild all internal references too.
I would recommend not trying to do this and instead either using Extension Methods or if that does not solve your problem ask a new question describing the exact thing you are trying to accomplish and perhaps we can show you a easier way to do it.