Since the cost of launching building supplies from Earth would be ridiculously high, building materials must be mined instead of imported. For instance, fine grains of crushed moon rock called lunar regolith can be used to cover portions of habitats to provide insulation and protect lunar colonists from cosmic rays that can cause cancer. Studies show that the thickness of regolith must be at least 2.5 meters to protect the body to a safe background radiation level. The design of habitats should also include highly insulating materials to guarantee minimum heat loss and promote high energy efficiency. Since the moon’s atmosphere cannot burn up space debris, extra protection from meteorite impact should be considered as well.
Building the base will be very hard. The low gravity environment will make it hard for construction personnel to work. The lack of a suitable atmosphere would be very damaging. For example, dynamic friction will be increased during drilling tasks as there will be no buffering of air around the drilling tool. This will generate a large amount of heat. Rock and drill bits will also fuse and delay progress.
Read more at Considerations for Building a Moon Base