Assuming you haven't bought the condo yet. You can ask your broker to check wit the condo's property manager. If you have purchased check your bylaws.
Most condos will likely ask you to file an architect's plan for any alterations.
If there is an issue, here in Manhattan there are several reputable companies who sell portable walls which doesn't hurt the structure of your apartment or other units and gives you the wall you're looking to create as a bedroom without the muss and fuss. But you would still have to check with the condo property manager on that as well.
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Building a wall may also require a permit from the department of buildings,although just a pressurized wall may not require it . Separating an alcove (with a window) into a small bedroom seems pretty standard.
you will need a building permit. Some concerns raised will relate to safe egress in the event of a fire and making sure you do not impact electrical service or adjacent supporting walls.
Sometimes people by pass the building department because they don't want to follow the local ordinances or run the risk of higher taxes. But when you go to sell the unit, you will be required to show whatever municipal approvals that may be required.