When I did mine, I left the paper in until the entire quilt top was done. I didn't want to go to all that trouble and have it get distorted by tearing paper out too soon.
The hardest spots to do were where seams met or lots of points met in the middle. I had to use tweezers to get some of the little bits unstuck.
I did mending and whatnot in between blocks and forgot to make stitches really small again. If you use the tiniest stitches you can stand it's a lot easier to tear off.
If you have a lot of pieces that are cut on the bias maybe you should leave it all in until the top is assembled. The last one I did was nothing but triangles that's why I left it until the end.