In this article, we explore federated customization of large models and highlight the key challenges it poses within the federated learning framework. We review several popular large model customization techniques, including full fine-tuning, efficient fine-tuning, prompt engineering, prefix-tuning, knowledge distillation, and retrieval-augmented generation. Then, we discuss how these techniques can be implemented within the federated learning framework. Moreover, we conduct experiments on federated prefix-tuning, which, to the best of our knowledge, is the first trial to apply prefix-tuning in the federated learning setting. The conducted experiments validate its feasibility with performance close to centralized approaches. Further comparison with three other federated customization methods demonstrated its competitive performance, satisfactory efficiency, and consistent robustness.