maybe that’s the real question. is the outside of the dyson sphere covered with graffiti, and/or folk art? ( yes please! )
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Yes, for materials you would need to essentially disassemble planetoids at least. This is not the kind of project anyone sane thinks humans today are anywhere near capable of executing.
For energy, the idea isn’t to build it all at once with the energy you have on hand. The thing you’re building is, itself, a system for harnessing the entire energy output of a star. You build some much, much smaller system using the resources you have on hand, and bootstrap from there.
For example: First, you figure out how to do fully automated mining, metallurgy, and nanofab in space. We can’t do this today, but if we could, finding the energy to launch it would not be the limiting factor, Then you gently nudge some small asteroids nearby to convert them to the equivalent of solar panels with associated materials processing facilities. This system is now effectively self-replicating. Let this continue for a few centuries or millennia, repeating until you’ve consumed the ~3e21 kg of asteroids the solar system has. This should get you something like 1-100ppm of the way to a Dyson sphere, aka you now have access to 1e20 watts of sunlight. Next, build space elevators on Mercury and Mars, the lightest inner rocky planets, and start lifting mass out of the gravity well. If you still need more, now you have 100x more energy to do the same to Venus, some big Oort cloud objects, and maybe even the gas giants.
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I stepped on a chunk of a planet once: it wasn’t fun.
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Did you then trip and fall on Uranus? 
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