According to the following web page, these 2 recipes are reasonably close to L&P Worcestershire sauce. I have read people use fish sauce (orientals use this; make sure it is not made from anchovies) or capers to substitute for anchovies. You might try a combination of both. (I haven't tried either recipe).
http://old.cbbqa.org/articles/WorcestershireSauce.html
A worthy try
The following recipe produces a Worcestershire Sauce whose taste is very close to Lee & Perrins. To enhance the complexity, additional aging should be done.
To make one cup:
1 Chopped onion
2 Cloves of garlic crushed
1 1/4 in thick slice ginger
3 tbsp Yellow mustard seeds
1 tsp Peppercorns
1/2 tsp Red pepper flakes
1 1 in. long cinnamon stick
1 t Cloves whole
1/2 tsp Cardamom pods
2 c Vinegar
1/2 cup Molasses
1/2 cup Dark soy sauce
1/4 cup Tamarind pulp
3 tbsp Salt
1/2 tsp Curry powder
1 Crushed anchovy
1/2 cup Water
Place the onion, the garlic, the mustard seeds, the red pepper flakes, the peppercorns, the ginger, the cinnamon, the cloves and the cardamom on a large piece of cheesecloth and tie in a little bag.
In a large saucepan, combine the spice bag with the vinegar, the molasses, the soy sauce and the tamarind. Bring to a boil, lower the heat and let simmer for 45 minutes.
Mix together the salt, the curry powder, the anchovy and the water. Add to the liquid in the saucepan. Remove from heat. Pour the contents of the saucepan (including the spice bag) into a stainless or glass container. Cover tightly and place in the refrigerator for two weeks, mixing from time to time and squeezing the spice bag. After the two weeks, remove the spice bag and bottle the sauce. Keep in the refrigerator and shake well before use.
A better one
Joy of Cooking and to my great surprise, ran across just what you are looking for! In order to make it, they want you to make two other sauces first- they are also good, solid condiment recipes and you may enjoy them on their own as well but it will be a REAL labor of love to make your sauce- I will post the Worcestershire first then the other two:
Worcestershire Sauce (makes 5 cups)
Put into a jug:
1 quart cider vinegar
6 tbsp Walnut Catsup (recipe below)
5 tbsp essence of anchovies or
2 oz. anchovies -- finely chopped
4 tbsp Chili Sauce (recipe below)
tiny pinch cayenne pepper
1 tsp salt
1 tbsp sugar
Cork and shake 4 times daily for 2 weeks. Strain into sterile bottles. Cork tightly and store in a cool place.
Walnut Catsup (makes about 3-1/2 quarts)
Pick and bruise 100 immature green English walnuts, still so soft they can be pierced through with a needle. Put them into a crock with:
2 qts vinegar
6 oz salt
Cover, mash and stir daily for 8 days. Drain the liquid and put it into an enamel or stainless steel pan with:
4 oz finely chopped anchovies
12 finely chopped shallots or 1 clove chopped garlic
1/2 cup grated fresh horseradish
1/2 tsp each mace, nutmeg, ginger, whole cloves and peppercorns
Cover and bring mixture to a boil, then simmer gently about 40 minutes. Filter, cool and add 2 cups port Pour into sterile glass bottles. Cork well. Cover the corks with wax. Store in a cool dry place.
Chili Sauce (makes about 8 pints)
Wash, peel and quarter 1 peck ripe tomatoes (8 quarts)
Put through a food grinder:
6 green peppers, seeds and membrane removed
1 tbsp dried hot pepper pods
6 skinned large white onions
Add the tomatoes and:
2 cups brown sugar
3 cups cider vinegar
3 tbsp coarse salt
1 tbsp each: black pepper, allspice, ground
cloves
1 tsp each ginger, cinnamon, nutmeg and celery seed
2 tbsp dry mustard
Simmer these ingredients slowly until very thick, about 3 hours. Stir frequently to prevent scorching. Add salt if needed. Put sauce in small sterile jars. Seal and process in a water bath for 15 minutes. Store in a cool dry place.
Us old backslid Raw Vegans spinkle them liquid aminoes on our salad along with XXX Virgin Greek Olive Oyl and Bragg's raw unfiltered organic apple cider vinegar. Yum yum. Now this be when we aint backslid of course. Otherwise we just eat hawg lard and stuff like that. 
