One decision you need to make is whether you want the setting triangles and corner triangles to be a single fabric, or whether you want them to continue the pattern in the rest of the quilt. It's a lot easier to make them out of a single fabric, and I think it's usually more interesting than continuing the block pattern, but it's a design decision. The link below is useful if you're using a single fabric.
http://www.generations-quilt-pattern...triangles.html Using the methods shown for corner and setting triangles assures that the edges of the quilt will not have bias edges.
If you want to continue the blocks patterns right to the edge, then the method quiltsRfun suggests is one way to go, possibly the easiest and most intuitive way, but of course you will wind up with almost half of a bunch of blocks that are cut away, and fairly difficult to use in another quilt, plus you will have the dreaded bias edges on your quilt.
In any case, you do need to add the triangles or blocks as you sew each diagonal strip together. If you don't, you will wind up with gaps that require set-in seams.