I think (now mind you, I'm not even close to being an expert) that the reason most people put the sides on first is that the quilts themselves are usually rectangular in shape, with the "long" edges being the sides. So if you put the sides on first (unless you are mitering), you will use less material than if you put the top and bottom on (length + width of border instead of just the length)
Did I explain my thought clearly enough? :oops: