There are several materials required for this.

• Titanium
  
• Quartz
  
• Materials for what you want outside.

It is simple. Make a platform out of foundations. At the edge of it, place a corridor with a hatch on the side. Then add a room on top of the foundations. Go inside and place a bulkhead door in between the corroridor and the room. go outside and remove the room. If you would like you can use a moonpool in place of the room. After the room/moonpool is gone go inside the base and exit out the bulkhead door. When you are outside of the bulkhead do not step off the foundation or you could permanently disable yourself from anything. When outside you will not need to worry about oxygen. You will now be able to build anything that will be functional when walking and swimming. When you want to start swimming again go to a hatch and enter/exit with it.