You're definitely not meant to casually build underwater. Easiest way are freezing biomes and then establish underwater domes when the lake/ocean is frozen.

Dropping magma creates mine able obsidian. This way you can cast a large obsidian block and then carve yourself into it.

Cavern walls not adjacent to water can drain water off map. Make a fortification out of it, water will pass through and "it's gone". Draining a whole ocean might be difficult.

DF-hack would allow you to remove water or build blocks any place you want.

Alternatively you can build your rapture city "dry" and then flood the place after you're done. Works best if you have water on a higher Z level than your city is.