We do build them all on earth, orbit them and send them to the Moon or Mars etc and land/orbit them for their tasks. A large structure - too large to launch as

We do build them all on earth, orbit them and send them to the Moon or Mars etc and land/orbit them for their tasks. A large structure - too large to launch as a complete station should be orbited here as many separate loads and then assembled to form the station, and then sent to Mars - as you suggest. It is not practical to send the loads to Mars and assemble there. Every item from earth has a huge cost. Items made from loose asteroids, the Moon, Mars etc may well be a lot cheaper. You must bear in mind that elements(metals, Oxygen etc) would need to be extracted and made into raw materials suitable for whatever you want to make. That means each one would need to be screened about the relative energy economics. Few items from asteroids could be used as they are found.