I find I get a flatter look to my piecing if I set the seam first. Try a little experiment yourself. Sew 2 sets of squares together and set one and not the other. Don't iron them open though. Now take your seam ripper and see which one is easier to get the seam ripper under the stitches. The one that has been set will have the stitches " set" into the fabric and you will have a harder time getting the ripper under the stitches.