The phrase "to build a rocket" means creating a spacecraft that can travel through space, usually propelled by engines that produce a lot of power and speed. Full definition
The company is promising to «build a rocket ship for the mind» that will completely reinvent the way we experience the world. (theverge.com)
That would spread the cost of building the rocket over many missions. (newscientist.com)
He's asked to do some rocket experiments, so I thought I would gather up some of the best ways to build a rocket from around the web. (inspirationlaboratories.com)