I suppose it comes down to construction versus operation costs. Most likely be cheaper to retrofit a rock, and (I assert) it'd likely be sturdier; but fuel costs for moving it around would be better with a fully built station. The outlay in finding, extracting, shaping and moving metal to construct the station must be enormous, (especially considering it's inertial gravity means it needs to be buttressed against its own weight).

Given that the first Death Star only made a limited number of journeys and the second one never went anywhere. The fuel cost savings never got to be found.