Hmm... I was sure that was how it was done, but I guess they either changed it in a patch, or my memory betrays me.
There is another way though.
Make sure there are no workers (or other service units) in the capitol. Make sure that no other victory condition has been met (no space race for "just one more turn!" mode).
Move one part of the spaceship into the capitol at a time. When the part reaches the capitol, a button should appear on you command queue for that part. The command queue is the tower of buttons in your lower left corner, that extends from the unit selection box (the one with unit name, movement, experience, and so on). The button you need in the command queue should be right over the movement button. It looks like the space shuttle with an arrow on top indicating upwards motion.
You can clearly see this button on the picture below.
It's only after we've lost everything, that we are free to do anything.