The Pilgrims didn't really know how to build a colony; they were pretty much starting from scratch. But they did know how to build houses due to their experience of life in England. Puritans had a deserved reputation for being fiercely self-reliant; not only that, but they were skilled artisans. Put the two together and you can see why building their own homes would've been second nature to them.
Although the first Pilgrim settlers had no direct experience of founding colonies before they arrived in America, they were used to being part of a distinct community with its own unique values. These shared values bound the Puritans together, helping them to endure the many privations they suffered in their first few years in the New World. Fortified by their unshakable conviction that they were establishing God's kingdom on Earth, the Puritans were able, slowly but surely, to build a thriving community that would endure for centuries.