I do both ways depending on the quilting design I'm doing. And, honestly, don't trust myself to just 'wing it' with a meandering design. I have a stencil entitled 'Tulip Trail Stipple' that I picked up at JoAnn's a number of years ago. It has a large tulip head with meandering lines - about a 12" square stencil. That one I do tend to mark unsandwiched so I can properly line up the registration marks. If I'm just doing straight lines in/around blocks or pieces, those I will mark while sandwiched as I mark as I go.
For me, also depends on what marking tool I'm using. If using a chalk-based product then I tend to 'mark as I go' while sandwiched and the chalk tends to flake off during the quilting process. If using a pencil, then I may mark the entire top - unsandwiched - as those marks do not flake/rub off during quilting.