You must always put effort into various forms of team building. Some methodologies have cleverly designed activities that work as team building in addition to serving a different, primary purpose, and those combinations usually work much better than corporate-style activities dedicated to team building.
So, check your methodology to see whether there are enough of these two-fold activities, and if not, see how you can add them to suit your project.
You can also create a stronger sense of belonging by emphasising the mission of the project and the fact that everyone in the project has the same goal. Involving team members in helping with the improvement plans can contribute to this setup as well. Your work will be easier if your project has main value drivers other than pure financial gain; e.g., think about the researchers who were trying to build COVID-19 vaccines – as a project manager in such a project, you should continuously remind them that they are all working together to save lives!