Note that I'm talking a project that might begin 50 to 100 years out as the earth approaches true "Type 1" status.
While I'm sure this idea is nothing new, the goal here is simple: Convert existing moons and dwarf planets into world ships and Dyson Swarms directly.
Note also that I am talking about an economic model which "profitablity" is defined by the expansion and survivability of the human race(survivalism), as opposed to how many paper dollars one greedy individual can make(capitalism.) These projects are generational projects and will take decades or centuries before a pure "return" may be realized by the parent civilization, but in the greater scheme of things, they are ultimately beneficial to earth and all humans.
One key advantage of this approach is it addresses the gravity issue by making usage of an existing gravity well of the object's mass. The disadvantage is that a more massive object is harder to move.
Here, we use objects that are large enough to have SOME gravity (0.05g to 0.15g.) These are objects, I suppose, ranging in size approximately from that of asteroid Ceres to that of Europa. The first of these would be on the smaller to medium end of this scale, as even 0.15g is a very, very large object. While this is still far less than Earth, it is better than nothing. Now these objects are typically massive enough to give gravitational resistance for human bone and muscle health, and to keep stuff from flying away, but not massive enough to maintain their own atmosphere, at least not indefinitely.
Now, we build our civilization on the surface of this object in modular design using materials available on the target object itself, or imported from elsewhere in the solar system. The idea would be to eventually cover the entire surface of the object in structures which are enterlocking with air locks as I have previously described, constructed from metals, polymers, and composite materials. IN order to protect against radiation, this is then covered over in a sufficient layer of aggregate materials. Solar panels cover the sun-facing side.
The advantage of this approach as opposed to an entirely free-floating space station is the existence of gravity. Once such a colony obtained a decent population, this colony could be used for mining and processing asteroids on a large scale for useage by other portions of the human civilization. Because of its lower gravity (but not zero gravity), you can bring the asteroids here in transport ships, refine them, lift off with the refined metals much easier than from an earth, luna, or mars sized object. Left over "junk" is used to re-fill the core of the host object after it too has been mined out for the most valuable resources.
The ideal object would be one large enough to eventually support a human population and mining and refining facilities of every type, but small enough to actually be able to change its orbit around the sun(and presumably its original host planet,) to move it into the habitable zone around the sun. Solar panels become one of the primary power sources, supplemented by chemical and/or nuclear power as needed.
In other words, we have encased the entire object in an air-tight sphere of metals and polymers, with air locks between modules and docking ports(this is to minimize loss of atmosphere from living spaces). We mine out the most valuable resources from the core of the object, exporting them to earth, the moon, and mars. We also use this colony as the primary space-bourne refinery.