Their are two costs to space infrastructure. The first is getting the infrastructure to its destination, whether its Low Earth Orbit, the moon, or Mars.
Once you have the infrastructure in place the cost is maintaining it. Let's look at the ISS as an example for maintenance. Every few months large shipment of supplies have to be launched into orbit to maintain the crew and habitat. That included large amounts of food, small amounts of water (most gets recycled but their is always some loss), Air (also gets recycled but some is lost and it takes supplies to filter air). Then you have replacement crew since it is medically impossible to live in 0g for long periods of time. And finally you have replacement parts for equipment that needs preventative maintenance or replacement. The ISS also needs to keep enough supplies on hand so that if a launch fails, they have enough food, water, and air to last them until the next launch. Otherwise they would have to evacuate if they can't get resupplied.
Similar problems exist for any potential colony. Although some materials can be found locally (processing aluminum-oxide on the moon for oxygen and building materials or Iron-oxide on Mars for the same reason) other resources would require constant resupply. It would be hard for any colony to grow enough food varieties to completely sustain itself indefinitely. Growing food just takes up too much space to be viable in the long term. Then you have the need for finished goods to use in equipment. While basic materials can be found on the moon and Mars for construction, finding rare resources (copper, tin, titanium, silver, gold... all the things you need to make complex parts and electronics) could take decades on other planets. Once you are lucky enough to find a resource, then you have to transport it across a hostile environment with no roads to the colony. Consider that some rare Earth elements used in almost all electronic devices are transported thousands of miles on Earth before they get to the factory. And that is on a planet with roads, railways and oceans to make transport fast and cheap.
I think that any true self sustaining colony would have to start out entirely robotic (either autonomous or remotely controlled). They would have to go in and find the resources and build the preliminary infrastructure on their own. Then roughly process the materials as well so that building supplies would be available to colonists when they arrive. Current day robotic vehicles could easily perform the following activities: survey the land to locate resources on or near the surface, flatten the ground for future buildings or gravel roads, mine surface resources, process resources into ingots or basic shapes, and transport resources over long distances. Over the course of many years or decades, enough processed material could be amassed so that a small permanent self sustaining colony could be created.
It would take many thousands of tons of machinery though to do this. And few countries or companies would be willing pay the money to put that much weight on another planet (the ISS alone is only 450 tons and every country has already pulled funding or is planning on pulling the funding for it because of the high cost of maintaining it).
