I will usually make 1 or 2 blocks to make sure I actually read the instructions correctly so I don't end up with 300 pinwheels that are half the size I need... Don't ask me how I know about that one...
Anyway, I'll make a couple of complete blocks and then start chain piecing. Making a couple at first also helps me come up with the most efficient way for me to do the piecing. I'm not one to cut every single piece first before I sew. That has gotten me into trouble, plus cutting is boring.