However, if you want to learn the actual skills required to live and work on other worlds, you should focus on building missions which demonstrate and refine the skills required to live and work on other worlds.So, as soon as possible, start on agriculture. If you're going to prioritize that, then you need to prioritize the knowledge and skills for the most productive environment. If you had to settle North America from scratch, would you first try to figure out how to farm in North Ontario? No, you'd try to figure out how to farm in places like Virginia, for the toehold, then as quickly as possible move out to the midwest, where the really big yields are possible.
Mars is probably going to be the off-Earth agricultural power, like the American midwest. The Moon, with its lack of resources, including suitable forms of sunlight, is going to be like North Ontario.
Doing so on our Moon and near-Earth asteroids (the nearest locations to support and safety) is the best way to do that and will give us the tools needed to move outwards permanently.
Near-Earth asteroids are a good rehearsal for expeditions to Mars. Any techniques useful to Mars that we might learn from the Moon, we would also learn from Near-Earth asteroid exploration. I am all for this. They will also yield information relevant to preventing asteroid collisions. I say we save the Moon for when we have a use for He3.
However, we can't even construct a reliable artificial biosphere fully enclosed here on Earth!...no one has done it yet. Ever.
I don't think you need a reliable artificial biosphere to get started. All you really need is life support for growing plants. I'm sure there's some grow houses out there in extreme northern latitudes that qualify as exactly this. If you can reduce the weight of supplies by a factor of 10 or 20, then this is enough.