I have a longarm. When I was learning I asked the sales person the best way to handle your question and she said she always worked everything across a quilt and then rolled to next section. I've always done it this way and don't have problems with wrinkles from rolling back and forth.
As someone said it's a toss up between changing thread colors or rolling and re-rolling. I go with the thread changes making them as painless as possible(last color worked on last row is first color used on next row, etc). I find the rolling forward and the steps involved more daunting than thread changes.