Depending on how much fabric I have I don't usually care if I put on the sides or the top/bottom first. It does save fabric to put the sides first but I don't always like how that looks, it depends on the blocks I think. Sometimes it depends on the fabric for me too, in some cases I do corner squares. One thing I don't really think about that was mentioned here is about the fabric grain. I know there is a stability issue this addresses but isn't that only if they will be hung? And I also find centers and pin there as well as the ends first, and then work my way in to keep the fabrics even. That does seem to make a difference. But I think you should do your borders any way you like. No quilt police here.