"... launch a single robot in orbit while more components are sent to be assembled up there with balloons e.g. to build a unmanned space station. Could that work?"
No. What could work, with regard to a space station, is to send up thousands of robotic panels, and insert them into orbit at roughly the same spot. They would communicate with each other to figure out where they are in relation to one another, and then they would, one pair at a time, fire their own thrusters to come together, and permanently join with each other, to form not only the space station itself, but also the station's distributed computing system and sensor network. The robots might even go further, by generating an atmosphere, thus allowing for the station to be occupied by humans. We already have the ability to easily send up such robots, by using Orbital's Pegasus, which is launched by a modified L-1011 from 40,000 feet. All we really need is to design, build and test the robots, such that each is no more than 1,000 pounds, as well as scale up the process of building and launching those rockets, which is covered below, in an article by John Walker, co-author of AutoCAD.
http://www.orbital.com/spacelaunch/pegasus
http://www.fourmilab.ch/documents/rocketaday.html (A Rocket a Day Keeps the High Costs Away)