This, like all quilting things, is a personal choice.. No right or wrong way to do it.
Putting the sides on first tends to make the quilt look more proportioned as the seam at the top and bottom break up the long lines of the sides.
However, there is another consideration.. if you are cutting your borders from a single lenght of fabric, rather than piecing from cuts across the width of the fabric, You will need more yardage if you put the sides on last as you will need the full length of the quilt.. Where as if you put the sides on first, you dont need the extra of the top and bottom borders included.