Space Exploration: Why Go Directly for Planetary Habitation?

Whenever I read about plans and ideas regarding exploring and colonizing space, usually they involve setting up colonies on Mars and/or the Moon. Why though, if we need to advance technologies further must we make such a large leap? Why not start by creating something that can at least be done without inventing new things? Creation of a space colony by usilizing a space station would be good, of course I mean as a first step since eventually we should occupy other planets, but until we have the technical means to make efficient inter-planet travel possible why make such a large leap?

We orbited the earth before going to the moon, I think we should build off-planet settlements before settling on other planets.