Question: Is there a special prayer I must say when I build my Sukka?

Answer: No. The first night of Sukkos (and, outside of Israel, the second night) you say the ‘Shehecheyanu’ blessing during Kiddush (follow the instructions in your Machzor, or Festival Prayer book) at the start of the evening meal. This covers the obligation to thank G-d for the opportunity to perform His commandment. In addition, throughout the seven days of Sukkos, whenever one eats an olive-sized portion of flour-based food in a Sukka, one recites the blessing of ‘Leisheiv BaSukka.’ One says the blessing after the normal blessing one says on the food (e.g. HaMotzi for bread), right before eating.