Color me stupid but do you just carve it out of a mountain or something? I am getting proficient at DF but haven't really tried any megaprojects yet.
-MB
A lot of the time you can just carve them out of the existing materials, but there's at least two very good reasons why you'll sometimes want to clear a whole lot of space and build it from scratch instead of excavating it.
First up, if you want it in specific colours (so it'll look nicer in a 3D display of your fort) or materials (because you wanna see if you can build Mount Rushmore out of soap) then you're gonna have to clear a space for it, process your raw materials, and build it from scratch.
Second up, if you want it to look like something, bigger is better. Each unit of space is like a single pixel in an image or a single brick in a lego sculpture. The taller, wider, and thicker you make your megaproject, the higher the resolution you get, and the more fine detail you can fit into the finished product. And if your megaproject is a work of art built into the side of a gigantic cliff face, or if it's a three-dimensional structure of some kind, there's a good chance that you'll have to build up into z-levels that are above ground level if you want the desired level of detail. There's what, 20 or 30 z-levels of air above ground level on a lot of maps right? Utilising that space can give you thirty more layers of "pixels" on the z-axis to bring your structure into sharper resolution.
Oh and then there's a very very dwarven reason to build upwards rather than just carving it out of the bedrock. Turning a lush forest into a giant hole in the ground so you can carve out a sixty-storey fortress in the shape of Saint Urist is pretty awesome. Turning a lush forest into a giant hole in the ground so you can carve out a sixty-storey fortress in the shape of Saint Urist, and then
going back up and building a twenty-storey obsidian hat on top of his head once you're finished is an act of pure dwarfiness.