On recent trip to Anza-Borrego Desert State Park, I ran across a Verdin beginning to build a nest, allowing me to capture a few photos and video as he busily proceeded with his construction.
The nest is being built in the middle of a cholla cactus, as seen below:


Over and over again, he would retrieve nearby sticks for the nest, often landing on a branch before flying into the nest:


Below is a short video the nest-building activity: