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As an option you can initially create Null-able column, then update your table column with valid not null values and finally ALTER column to set NOT NULL constraint:
ALTER TABLE MY_TABLE ADD STAGE INT NULL
GO
UPDATE MY_TABLE <set valid not null values for your column>
GO
ALTER TABLE MY_TABLE ALTER COLUMN STAGE INT NOT NULL
GO
Another option is to specify correct default value for your column:
ALTER TABLE MY_TABLE ADD STAGE INT NOT NULL DEFAULT '0'
First, add the column as NULL. Then use UPDATE to add data to every row. Finally use an ALTER TABLE . . . ALTER COLUMN statement to change the column constraint to NOT NULL.