While the Oort cloud, by current estimates, has enough total mass to construct several Earth-sized planets, there are problems.
According to NASA, the Oort cloud is mostly ice comets, made of water, methane, and ammonia. There certainly are rock comets as well, but it is questionable whether there is enough rocky material to make a proper Earth-sized rock planet. You can't make an arbitrarily small habitable planet, because the lower its gravity, the faster it loses its atmosphere to solar wind.
The next problem is the magnetic field. In order to create a magnetic field from its core, the core has to be active, i.e. it needs to rotate within a liquid outer core. That requires heat, which comes from radioactive decay and residual heat from the planet formation. While mushing together the rocks into a planet would certainly generate heat, the radioactive decay might be absent for lack of fissible material. I have no way of determining whether that would be enoguh heat to get sufficient geological activity going for long enough to matter.
In order to support agriculture, significant quantities of topsoil are required. Topsoil, in turn, is mostly microorganisms and organic matter in various stages of decomposition. Those would be impossible to obtain in outer space and would have to be imported from Earth.
Overall, I believe you could get some sort of planet or planetoid going from Oort cloud materials, put water and an atmosphere on it and put it into the habitable zone of Sol, but getting a self-sustaining biosphere going will be hard, if not impossible.
However, even if those problems can be overcome, there is little rational reason to do so. A Dyson sphere, its variants, or similar mega-scale space habitats would most likely be a more efficient use of the available resources.