While o.m. raises a valid point that you want your structure to be sustainable, terraforming wouldn't be worth it. There is the potential to upset the balance in the solar system, and it's overall way too much work. It would be much easier to just reinforce their space bases.
It would be a lot easier to take it in small parcels, a dome here, and asteroid there. Maybe your people have metal woven into their clothing, and live above giant magnets. Or create some kind of gravity generator. Or spin an asteroid.