Roof and wall sections fall down if you order them built where they don't have anything to support them yet.So yes, use scaffolds.
Placing scaffolding is a free action; your townies can and will conjure them up out of thin air.
Here's how you do it, in steps:
- Build the ground level walls.
- Build the second level walls.
- As soon as the first few sections are up, order scaffolding built along the inside and outside -- you'll need the former to start building the roof, and the latter to make sure you can get your townies off it afterwards.
- Once the second level wall is completely built, order scaffolding built along the inner perimeter.
- Build the third level walls. Also start building scaffolding immediately -- the third level scaffolding is supported by the scaffolding on the second level. Remember, at least one line of scaffolding along the outside as well.
- Start filling in the scaffolding on the third level until the entire room is scaffolded.
- Build the roof, which can now be done quickly and efficiently because there's scaffolding to support the sections until it's complete.
- Once the roof is complete and you've double checked that no more townies are on it, start removing the scaffolding layer by layer from the top.
And there you go. One three-story high roofed house.