You should do what works for you. I am the exact opposite. I make my test block to work out any kinks and then I work best doing everything in order for all the blocks.
I work in a lab and most of us are very effecient at doing multiple analysis on multiple samples simultaneously. BUT...if we step into someone else's set up in the middle it takes twice as long because all of our minds work a little differently.
I hate to cut everything out in advance and have it laying around. I like to cut the piece I need next for each block. At my BOM they keep telling me I really need to cut everything out before I sew. Doesn't work for me.
Do what you enjoy and we won't tell the quilting police.