This means to be very excited, nervous, or obsessed about something. If you constantly think about something, it becomes bigger and bigger in your mind; you’re “building it up.” 

She built up prom so much in her mind that she was bound to be disappointed.

It’s an interesting place, but don’t build it up too much before you go.

When we say “build (something) up,” it’s usually for cases where someone has been disappointed, or is too emotional about something, and it’s causing problems.