Throughout history, one of the basic elements of construction has been those artificial sections of rock called "bricks". The more things change, the more they stay the same.
Cheap and easy to make, the Mooncrete Block factory uses the heat of collected solar radiation to melt and fuse the dust of the lunar surface into rough blocks suitable for much of the bulk construction needs. You'll need plenty of these to make buildings such as the ShipYard.
The sheer bulk of the material provides fairly significant protection against cosmic radiation and smaller meteoroid impacts. Some way of sealing the inside of the building is still needed, to retain air, but ultimately, that's much cheaper than having to ship huge quantities of building material up from Earth. One day, these blocks may even provide much of the radiation shielding for great space station colonies in orbit housing hundreds of thousands or even millions of people.
Another nice thing about Mooncrete Blocks is that you can trade them as Resources on The Market to make easy money, and you'll need plenty of easy money. Build yourself a fleet of Ships, 2x2 Centaurs and 3x3 Balkans, and then buy at $1 and sell at $2 to double your money. Just wait for the market prices to fluctuate.
Another bit of advice is that if you find these Mooncrete blocks take a long time to make, then start trading on the market, make a little cash, and just buy them instead. Sell off the buildings and use the space for Shipyards and make money from trading.