One way we could protect the atmosphere is a massive solar shield that would let in the light while stopping the solar wind. Kind of like a 200 mile solar sail 200 thousand miles from the surface of our moon...Once we did that then the solar winds wouldn't tar off the atmosphere that we'd build.
We could build massive mining plants that would drill into the surface of the moon and turn the solid elements of co2, o2, etc into gases that would be released into the atmosphere of our moon. Over time the atmosphere would thicken up and with enough co2 the moon would warm up melting the water. This would help form lakes, seas and oceans that would allow for a thicker atmosphere and a more favorable climate. We could slowly make this atmosphere breathable. And even if we can't solve the gravity problem we could always maintain the atmosphere through adding more gases to maintain any loses over time.
A moon that was favorable for life would be a place worth going to for humanity and would allow us to make the step with long term in mind.