You can do it either way. I usually do it all at once, but one particular quilt I did was so big I couldn't get battin big enough, so I did a quilt as you go method. There are different techniques for that and I am sure someone else will jump in and help.
what I did was to make my blocks 21 x 21, layer them and quilt them. when they were all done, I sewd them together with a wide zig-zag stitch. One side had binding on the front and the back. After joining them together I folded the binding over to the other side and hand sewed it. I am sure this is clear as mud. I will try to get some pictures.
Maria