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Expensive optimization tasks are ubiquitous in real-world applications, demanding highly specialized solvers. While LLM-driven automated solver generation shows promise, current paradigms face three critical issues when tackling expensive optimization: factual hallucinations due to deficient domain knowledge, the frequent dismantling of previously established locally optimal structures during refinement, and the prohibitive evaluation costs alongside restricted generalization caused by executing on training instances. To address these issues, we introduce AutoSG, a fully automated workflow directly translating natural language prompts into executable customized solvers. AutoSG features three core innovations: a retrieval-augmented solver generation module strictly grounding code in verified literature; a one-step self-refinement operator introducing task-specific improvements while preserving critical structural components; and an instance-free Elo-based LLM-as-a-Judge evaluation mechanism rapidly establishing global rankings. Extensive evaluations across diverse expensive optimization tasks confirm AutoSG significantly outperforms human-designed state-of-the-art frameworks and existing LLM-generated solvers.