I'm assuming you're talking about digging out a large multi-level room, rather than building one.
Probably the easiest way would be to channel from the top down, designating 1 layer at a time, but I'm going to go ahead and assume the throne room itself is already dug out at the bottom.
So channeling from the top down (1 layer at a time) is still the way to go for all the layers except the one that's currently your throne room's ceiling. You'll be able to designate the entire area to be channeled at once, since there will be a floor underneath, until you get to the level just above your throne room. That's the layer that's going to be a pain. If you mine out the outside tiles, the ceiling will be unsupported and cave in, which would be a bad thing. And since you can't really influence the order the channel jobs are done in, designating the whole level at once is almost guaranteed to cause a cave in.
What I'd do for that last layer is to build an up stair somewhere around the center of your throne room. Then dig a down stair in the layer above, which gets your dwarves access to it, and frees the dwarves we probably trapped earlier from channeling out all the layers above it. Then I'd just designate one row or column at a time, starting at the outside, until I've channeled every tile away from the ceiling. You could even make a macro for it if you're so inclined. Finally, channel out the down stair, deconstruct the up stair, and your fabulously high ceiling-ed throne room will be complete!
As you can see, this process is easier if you plan it out ahead and just channel down one layer at a time.
If you're building on the other hand, what I typically do is just build up some up/down staircases up to the height I want to go to (Depending on the size, maybe 1 in the center, or 1 in each corner, don't forget the ceiling!). Then just designate floors and walls to be constructed from those staircases. If it's a really big room you'll either have to wait for sections to be completed before designating the rest of the room or build more staircase columns to build off of.
While it's going to be slow going no matter what, this should let you at least designate the entire structure once you've got the staircases up. When you're done just remove the extra staircases (You'd better have built walls before you do this!)