You can have the kobolds build as much as you have treasure. It cost's one treasure to build each thing so it is impractical to do in Dark Fantasy mode (you essentially have unlimited treasure in Power Fantasy). You can get treasure in a few ways:
1. Have Mina as a happy captive and ask her for resources
2. During the Bastion heist quest, take the two treasure instead of Heloise (this also prevents you from having to spend a treasure on traps to capture the cat-girls)
3. If you don't meet Mina in act 2, she can give you the contents of her cart once you have a lair
4. Kobolds can be ordered to bring you treasure. This costs 1 morale in Dark Fantasy mode you you will need to keep giving them captives to keep morale up.