have built my house in falkreath and was thinking of starting another in the pale. i went out there but there was no dialogue option. do you need to become thane before you can build elsewhere or can you only have one build?

You can buy all three (it's an achievement actually). You do not need to be thane.

Do quests for the Jarl until he tells you that you can own property, then talk to the steward to buy that property.

You only need to do two task before your well known enough for the Jarl to sell you land.

Do you need to do the main quest that the jarl gives you (like "Laid to Rest" or "Waking Nightmare")?

Yes to both.