Yes, water is heavy, you'd need walls like the Hoover Dam, and a lot of them, because there's such a lot of water.
If you require 1000l/day, that's 1m³ per day, or 365m³ of tanks for a year for you alone. A lot of people live in less space than that (per person), so very, very approximately that would require building structures as big as the total existing housing. With strong, expensive walls.
Doable, I'm sure, but how does the cost compare to building a few dozen desalination plants?
