You got it, Dyson spheres don't naturally have 'gravity'. You could build habitats that orbit the sun just outside the Dyson sphere. I'm partial to O'Neill Cylinders myself, a big cigar shaped space-station that spins to provide artificial gravity. You could also make Bishop Rings which are basically tiny ringworlds that don't have the sun at the center. Alternately, genemod our dependence on gravity away and you don't even need to provide artificial gravity, we could just live in a large swarm of non-rotating artificial space stations.