How do I actually build projects using java

We really can't tell you anything specific - it's a skill, and the only way to build a skill is through practice - you can watch as much of the Tour de France as you like, but it isn't going to teach you to ride a bicycle! :D

Pick a subject that interests you and write yourself a specification for how it should work.
Then read the spec, and generate a design overview: data required, how does it need to be processed, what the interaction with the user will be.
Then try to divide that up: for largish projects a good way to start splitting is to consider the 3 Layer model: Data Layer, Business Layer, Presentation Layer - then work out what the interactions between those are going to be.

Then think about language and framework selection.

Then design the layers themselves.

Then refine the designs, prepare test cases, create a "sign off" criteria document so you know when it is finished.

Then you can start designing code - and eventually start writing it!

Sounds like a lot of work? Well, yes - it is a lot of work for a large project - but the same steps are pretty much needed regardless of the project size: even a homework exercise, though a lot of that is done for you before you start working: it needs a specification (the assignment), a design overview (the "shell of the program" that the teacher provides), the language and framework choice is the teachers, the data is specified in the assignment, and so on. If you miss out some of it, it makes your life a load harder in the long run.

But as I said - the only way to get good at it is to practice, and make mistakes you can learn from for next time.

Good luck!