Most people would probably disassemble a planet to go around a star as a Dyson swarm but to each their own.
Three main avenues
1) You starlift enough material to create a planet
2) You blow up an existing planet with enough mass that the result still counts as a planet (we don't need any more pluto incidents). You have a few choices here
https://nssdc.gsfc.nasa.gov/planetary/factsheet/
Some might get bogged down in technicalities here by ship of theseus on this scale is a boring philosophical ponder.
3) You collect enough material and transport it to one place such that it acts as a planet. This would be hard as the mass of moons (
http://www.ianridpath.com/moons.htm ), the asteroid belt (
https://www.space.com/16105-asteroid-belt.html ) and such will barely scratch levels we typically call a planetary mass.
Depending upon what you want to view rogue planets as then you might capture one of those and set it on an orbital path.
Such a thing might be deemed capturing but barring radioactivity powered life forms being on it then it is basically a blank slate for you to forge as you will.
This of course is things within known physics. If you are able to create new mass then that is an option, you could probably stick within known physics and do a Kugelblitz black hole to substitute for the mass from more conventional matter if you have the energy to play with.
For a slightly more philosophical approach there are likely still some stellar dust clouds out there, ones you could influence such that you create a planet that way, though any control of composition that you have will be slightly less. A decent collection of Shkadov Thrusters will do that for you