Presumably they'd have to treat the mycelium in some way but it would be cool if they didn't have to as mycelium can grow together and form a single organism. That would mean after you built your wall out of bricks, it would just turn into a solid wall after all the bricks grew together. Probably wouldn't work in practice but fun in theory.
I wouldn't be surprised if it were possible to create an intentional environment where it could grow into any shape you want, of just about any human-scale size. Pehraps it would involve some carefully setup (and periodically adjusted) arrangement of lighting, climate control, and shade control.
