Does it make sense to add an upstairs dormer in two phases?
The two phase may cost you more, unless you are doing some portions yourself.
The reason is time.  The general contractors major contribution is scheduling. He gets his best prices from subs by giving them consistent work of known quantities.

A two phase plan is really 2 unique jobs, from the general contractors' perspective.   

What you are proposing is not unique.  Interview the GCs and be upfront about the need to budget.  Ask if there is a discount for a complete job vs 2 phases.

Having a larger "attic" has energy pluses, especially if you can insulate and add HVAC in the 1st phase.  You see major benefits when doing interior finishes in later phases (especially drywall) if the interior humidity has stabilized.
This means the framing will have finished moving BEFORE you add onto it.