Avoid including them in your own site. Everyone knows that a web site is constantly under construction. People change their sites all the time. There is no need to remind your visitors that your site is changing and expanding.
All web sites are.
They'll be gone that much sooner. If your site really isn't ready to view, it shouldn't be up on the server yet. Under construction signs give your web site an unprofessional look. Providing a link that goes to a blank page doesn't make a lot of sense. It would be better to remove the dead link until the unfinished page is ready to view.