Marco Russo has a simple method for building a date dimension in Power BI:
With the recent introduction of custom format strings in Power BI, we can use a different approach that no longer requires additional columns, and that can also remove the need to use the Sort by Column feature. The basic idea is that we always store a date for a period like Year, Month, or Week. The custom format string displays the text we want to see in the user interface; however, because the underlying data is a number we automatically get the right sort order and the ability to use the Continuous Type in the X-Axis of a line chart.
Read the whole thing.