It depends on the quilt pattern. I recently did a French Braid and I pressed each piece after sewing (the instructions in the book told me I must press!). Much of the time I don't because it makes it very difficult to make corrections if seams have been pressed with a hot iron. So, usually, I just finger press or use the little wooden pressing tool until I'm sure everything fits together exactly right. The downside to that is the monster pressing job I have when I'm finished the quilt so I need to train myself to press the quilt top in sections before I get them all sewn together.