The key problem is moving resources which have an appreciable weight (that is, everything except humans, animal and plant life, and information) from Earth. Obtaining resources, processing, and assembly has to be in space, in low or zero gravity. But how do you start that process, given that moving equipment to do so from Earth will be expensive?
The Moon will be the primary source of raw materials for building space colonies. Lots of countries have declared their interest in building a Moon base, some stating they will do so by 2030. The need will be to explore the Moon further (especially its geology) and to make the first steps in constructing the parts for a space habitat, which means extracting and processing raw materials on the Moon.
A way forward is shown by the European Space Agency’s ideas for building a small moonbase. Essentially, get a robot to do it, including using 3D printing techniques.
This can be taken further, to the next stage of getting a robot to construct processing equipment to produce metals, silicon for solar panels, and so on , for assembling in space for a small habitat which would then construct the parts for a larger habitat, and so on.
If this sounds improbable, it is actually less difficult to achieve than getting costs down for launches from Earth. There has been little progress on the latter since the 1960s, but there is major progress and further potential in industrial robotics and 3D printing.
The sensible path is to perfect the process first on Earth, in a desert environment where the land approximates to the surface of the Moon.
If it can be done on the Moon, then the process can be repeated on Mars (with the focus there on collecting water).
Chicken and Egg, and Habitat Location