Actually, I think with the technology we have today, building a biodome on the moon is very possible. There are already underwater hotels. Those hotels were built to withstand water pressure, so if we can withstand more pressure, what's so hard to withstand less pressure? This is just the biodome though. Human bodies are a totally different story I'm sure.
As for living on the moon...I think we're better off living on Mars. The gravity difference isn't by much and so we'll be able to adjust to it. The moon would probably be best to farm plants for food and with the human population constantly growing, I think eventually we're gonna collapse Earth. It can't support us indefinitely, not with a growing population with growing need for food, water and shelter.
I wonder if scientists have tried creating water.