If you are going to miter the corners, it really doesn't matter. Same if you are putting in corner blocks. If you are just putting the borders on all the way across, I prefer to add the sides first and then do the top and bottom simply because I like the look of a complete line at the top. That is my preference on a quilt that I am making. For the same reason, you should do what you prefer on the quilt you are making! Rules are often silly.