The Taliban actually got close to having a chance of stealing nukes from Pakistan, but they got pushed back.
Sure, a dirty bomb may be simpler to build than a warhead, but the terrorist would still need to get ahold of some really radioactive stuff to make an effective one. And dirty bombs don't really blow anything up, they just spread radiation. It would be something they would blow one up in a busy place as a terrorist attack. It's not the kind of thing they can launch across the ocean and use to blow up a city.