What are the challenges of looking for Dyson Spheres?

Dyson Spheres would simply appear as a star slowly going out as solar panels are placed around it. This is almost impossible to see and let alone notice with todays technology. It would have to occur to a close star which we would have to just be happening to look at. Despite the probabilities of this being highly improbable, the time the light would take to arrive would mean that the civilisation is likely no longer there ...