I have found the build system in Sun ONE to be quite picky.. and since I wanted to add things like precompiling, obfuscation and preverifying, I skip the standard compile completely and use Ant scripts (like multiplatform make files) to do my building.. it works a treat and you have total control. I believe there is even an ant library called antenna with J2ME specific tasks, though I've yet to try it out.
Have a look in the Sun ONE help. It has a help set dedicated to Ant. There's also an ant wizard that will let you create basic ant scripts that you can build on. Once you have set up an ant, you can right click on it in the interface and all your build targets are selectable.

If anyone has any better suggestions, please feel free to correct me :)