It comprises the steps of providing at least two metal shell segments (15) arranged adjacent to each other, forming a column of concrete (40) on at least a joint portion of adjacent shell segments (15), placing a formwork (50) to form said column of concrete (40), assembling a support framework (20) before the step of providing shell segments (15), providing an auxiliary sub-structure (10) internal to the shell segments (15), and an attaching formwork (50) associated both with the internal support framework (20) and to the shell segments (15). The assembling of the internal support framework (20) may be carried out by providing at least a first series of auxiliary pillars (60), joining the auxiliary pillars (60) to each other to form a first auxiliary sub-structure (10) and arranging an attaching formwork (50) attached to said auxiliary pillars (60).