A method of drilling and lining a wellbore includes operably coupling a support member to a drilling device, an expansion cone configured to expand a tubular member, an actuator configured to pull the expansion cone through the tubular member, a releasable locking device configured to limit displacement of the tubular member relative to the actuator during actuation. The drilling device is disposed below the expansion cone and the expansion cone is disposed at a lower end of the tubular member. The method further includes locking the locking device. After locking the locking device, a wellbore is drilled to have a diameter greater than an outside diameter of the tubular member. After the drilling, the actuator is actuated to pull the expansion cone towards the locking device to expand at least a portion of the tubular member into contact with the drilled wellbore. The method further includes releasing the locking device and removing the drilling device through the expanded tubular member.