Originally Posted by PaperPrincess

I don't think there's a 'right' way. I do it every which way!
I'm not very skilled in doing a continuous patterned border (like a continuous feather) in chunks, so I do the top border, body of the quilt, bottom border, then turn it & do the 2 side borders. I am careful to baste the edges as I go and don't seem to have any problems with puckers. Other times the pattern I've chosen for the borders will have obvious starts and stops so I can do it as I quilt the body. Sometimes I don't know what I want to do in the borders, so I'll just baste the very top and sides, do the body of the quilt, then go back and do the borders. Again, I am careful to baste the sides as I go. I also will do this if I want to do a meander in the border because I have problems keeping the same scale if I go back and forth between the body of the quilt and the border. I get a more consistent result doing the entire border at the end.
I don't quilt for hire and sometimes the way I do it is not very efficient. I know that more skilled quilters do everything as they go: side borders & quilt body. They also probably actually remember what they did at the top of the quilt by the time they get to the bottom without having to unroll it and look!