Just back of the envelope stuff... I was in grad school, around the time the HZ started.... I imagined using a solar reflector to concentrate solar radiation on an asteroid to melt it - then injecting gasses in to 'inflate it' once it was molten.... I emphasize this was just approximation on the most crude scale.... the energy and time required was huge...If I remember correctly- And this is backed up with no actual science... it made more sense- assuming a loose agglomeration of dust... to use machines to hollow out an asteroid and deposit the dust on the surface - maybe 10 feet deep and then use concentrated solar energy to melt the new surface to create a new solid fused level maybe 1 foot deep and then shape that shell into chambers taking the remaining regolith and putting it on the surface to make a new layer to be melted into solidity by concentrated solar radiation... how you do this without finding another source of energy to counteract the pressure on the solar reflector is yet to be determined... TANSTAAFL is an acronym popularized by science fiction author Robert A. Heinlein in his 1966 novel The Moon Is a Harsh Mistress, meaning "There Ain't No Such Thing As A Free Lunch," a solar reflector on that scale would be a solar sail- driving the assembly further from the sun, thus reducing its ability to concentrate energy on the asteroid being transformed into a habitat...

You could, with an asteroid like psyche make a habitat that housed a HUGE number of people... but every human body radiates approximately 100 watts of heat- not counting all the equipment they might want to use- you need a way to power all of that and then radiate it away so you don't kill everyone with high temperature...

I am not saying it is impossible, but I am saying its a problem far more complex than just making a big spaceship- especially when you factor in the many unknowns...

Just my two cents- which- if invested now, and allowed to gain interest over millennia might finance such an endeavor...