The first obvious assumption is would have to be launched from space and return to space because the cost of getting a payload from Earth to LEO is a huge extra expense.
Then you have to consider the delta-V of getting to the asteroid, doing a rendezvous and getting back. If that's so significant that the Earth launch cost is trivial then the delta-V budget is so huge, it must make the endeavour even more uneconomical.
I believe humanity's future is in a Dyson Swarm. There are simply too many advantages. This is a deep topic. The question is how do you bootstrap that? Where do you get raw materials?
I don't think it's from asteroids. I very much suspect it's from a larger body and my money is on Mercury. Why? On pretty much any body in the Solar System you're living underground so Mercury is at no disadvantage here. It has no atmosphere. That's an advantage. Mars's super thin atmosphere is the worst of both worlds. Additionally, Mercury is metal rich and due to its proximity to the Sun, energy is abundant (ie solar power). Interestingly, it has a higher orbital speed than Earth (47km/s vs 30km/s). That's really interesting because it's free velocity to leave the Solar System.
Resources on EArth are so ridiculously cheap. You can mine iron ore for a few dollars a ton at scale. You can convert it into steel really cheaply too (again, at scale). Doing anything in space requires having truly stupendous amounts of cheap energy available.