I usually do the sides first. To the eye it sort of balances the quilt. Putting the sides last just elongates the look of the quilt. Of coarse after it is quilted you will probably never know the difference unless it is directional or striped fabric. Then there are times that I just sew boarders around as you do a log cabin block, top, right, bottom and then left. Just a personal preference. Do whatever you are comfortable with or what fits the quilt you are working on.