If you build something you create it, or make it bigger. If you develop something you make it better, more complex, or more advanced.

You Build something from nothing, while you Develop the one existing

Often either word is fine. But often "develop" is used for more complex things. Build a house, but develop a city. Also, "develop" is used for more creative things: You might develop the story for a book, or develop a new artistic design.