It depends on the pattern. I usually do rows together but on my avatar I did columns because I needed to see the pattern come together.
When I am sewing strips together I sew first one way then the other way on the next rows so they don't go wonky but when sewing rows of squares together I don't think that's necessary because you are nesting the seams which keeps things more true. If you are doing sashing it is easy to get it going wonky from some stretching. If you are sewing a long strip of sashing you should treat it like a border by measuring your row or column and then dividing it into at least fourths, make your sashing the same length, divide it into fourths and match those points. I would then sew the other side of the sashing in the opposite direction. It is very hard to avoid all stretching when you have a long piece of fabric.