Airlocks are built like most machines, starting with a frame which is bolted to the ground, then materials and components are added.
Airlocks can be merged together up to 3 tiles long. They need to merge in the construction phase. Once the door is completed it wont be able to merge with others and will prevent other door skeletons from being bolted next to it.
Example: To build a 2 tile door, you'll need to build 2 door skeletons side by side, wrench them both and they will connect, then you can finish building the airlock.
How things are built, specifically.
Even within the sections below, the construction processes may vary depending on the object type. For example the construction recipes for a metal wall will be different from a wood wall or rock wall.
Current recipes may not be final.
Have a material and a tool in hands
Apply tool to material
Select an option in the menu
Wait for build to complete
Drag the frame of the object to the desired place (optional)
Attach the object to the grid by applying a tool to it
Apply materials and tools to complete the object
For furniture building it's even more simple, as most furniture works even without being fastened or bolted to a tile, not to mention that some furniture is built right away, without the need to make a frame for it first.
The construction process for walls/windows may vary depending on their type. And these current recipes may not be final.
In any case, the wall starts with a metal wall girder. It's like a frame for a wall to be filled with metal or glass to be completed. It can be made on a spot, if player character has metal rods or what have they in one hand and a tool for connecting them in the other. Applying a tool to the materials (dictated by the crafting recipe or a choice in the opened menu for building) results in creating a physical, always upright metal girder in front of the player.
It can be dragged or pushed to be relocated to a different location. It is even connectable, meaning it can attach to nearby objects of the same type (other walls). In order to be connected to the other walls, it needs to be bolted to a tile, adjacent to the other object of the same type. Player just needs to drag the girder to the nearest wall, place it near the center of the needed tile and bolt it using a wrench.
From that point onward it can be upgraded to an actual wall or window. This is recommended because a girder isn't pressurized and wont hold in your atmosphere, or stop fire from spreading, etc.
Reinforcement and other forms of modifications should also be built on the same principle.
Like all objects in this game, many walls have unique properties. Natural rocks walls are easily destroyed via many tools in the game, yet cannot be built rebuilt.