The first things I would be focusing on in regards to Mars would be some source of renewable air and water..... everything else follows after that. Building structures from bricks made on Mars doesn't do much good if you can't live in them unless their air tight and you have some form of oxygen to breath. You'll also need a lot of physical labour to build from brick, which will require and use up a lot of oxygen. Unless you get a machine that can do it all for you, sending resources from Earth already put together for the most part seems the most practical at the moment.
As for the Moon?
It would be a better starting block for colonizing with humans then Mars. It would give a better chance to see what happens to humans when living off of the planet for a long period of time..... and if something goes wrong, it's a lot quicker to send help to the Moon then it is to Mars. Unfortunatly, you still have a resource issue, and a constant supply will be needed to be sent to the Moon for quite a long time. The same could be said about Mars, however Mars has signs of water and an atmosphere..... a slightly bigger chances of getting some resources from the planet then there is from the moon..... but then for supplies you will still need to have sent, it's going to take a long time to get there...... and if something happens to the ship transporting the supplies..... what happens to those living on Mars who now have to wait for the next ship?
They're probably dead.
I think we should start planning on how to colonize other planets and moons in space, but focus more on dealing with the current issues on this planet first, or we'll just end up creating the same issues elsewhere in the universe.