No reason to be jealous, I went with the CR because of the rear frame to head mount. I couldn't find a 2003 or newer kx frame to fit it.

And I got the cr frame for 40.00 shipped.
2002-2004 is the general parts match for the cr125. I am not sure about the cr250. The cr125 is about the perfect fit for the KDX engine. I was amazed at how close things lined up. I believe that the cr250 frame is a bit bigger. I would get the cr250 suspension (I did get 250 forks and a stock cr125 rear shock because I also got it for 15+shipping so I wasn't going to complain).
The 2003 swingarm was better than the 2001 cr swingarm because I only had to work on it with a file for about 20 min to get it to fit rather than mill it. I did have to turn off about .25" of each suspension bushing on a lathe. This is also a great thing about the cr swingarm, the bushings carry all the load so you do not have to be exact with the swingarm like on the kx.
For tanks, I believe the 2002-2007 tanks will all work for the 2004. I checked using an IMS tank as a reference. For seats I believe a 2000-2007 will work, I used an SDG for reference. Also, comparable year KX125 seat covers will fit the cr seat fairly well.
If you need parts, I have a subframe and triples that I will let go of cheap. You will only need the upper bearing, and the two retaining nuts to make them work. The triples are off of a 2002 Cr125, but will fit up to a 2006 at least.
Overall I believe the cr125 frame is pretty good. You only need to get new forward mounts welded on, and then bend and drill some new top mounts (takes a vice, a 3 lb sledge, a sander, and a drill press). For pipes, 95 and newer would be easier to use as they go in lower than the older kdx pipes. Lastly, radiators will be tough to find cheap, expect 40-60 a side for decent, slightly bent condition. But, 2002-2004 cr15 and cr250 should both fit it. I only had to bend the bottom cross over tube a little to make it work because I got the cr250 radiators. The 125 ones should work fine, just use the cr250 hose setup as it only has one return from the head to the radiator.
Other than that, I would recommend finding a rolling chassis if you can or a runner for under 1000. If you can get into a roller for 600 or less then you should come out ahead. Mine cost more than a roller by quite a bit because of the radiators, plastics, tires, chain, and wheels. If you want plastics other than red I would recommend either Chaparral Motorsports or Motosports.com Both had the best prices I found and if you spend over 100 or 150 you get free shipping. And it is easy to spend over 150

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Let me know if you need any parts and good luck!