Haplotypes carry important information that can direct investigators towards underlying susceptibility variants, and hence multiple tagging single nucleotide polymorphisms (tSNPs) are usually studied in candidate gene association studies. However, it is often unknown which SNPs should be included in haplotype analyses, or which tests should be performed for maximum power. We have developed a program, hapConstructor, which automatically builds multi-locus SNP sets to test for association in a case-control framework. The multi-SNP sets considered need not be contiguous, they are built based on significance. An important feature is that the missing data imputation is carried out based on the full data, for maximal information and consistency. HapConstructor is implemented in a Monte Carlo framework and naturally extends to allow for significance testing and false discovery rates that account for the construction process and to related individuals. HapConstructor is a useful tool for exploring multi-locus associations in candidate genes and regions.