Work Inside-Out: An inside-out approach to world building will have you starting small. Come up with a single location, and build around it. The main idea is that you build the surrounding world as you go, not worrying about what the whole world will look like as you can create more of it when you need to. Your world will take form as you progress, hopefully in the same order that the player will experience it, so you'll have a better feel for the player's experiences. Building inside-out allows you to dive straight into map-making and dialogue and so forth, without being bogged down by the often daunting prospect of planning absolutely everything out beforehand.
The inside-out method suits people who want immediate results, or who are confident in their ideas or just like winging it. It can result in greater variations in geography and philosophy, as you will spend months inventing everything as you go rather than getting it all done (relatively) quickly at the start. However, with this method it is easier to lose focus on the overall game, resulting in an uneven flow. Retconning earlier maps to include ideas you only think up later on will also be a common occurrence.
Work Outside-In: Zoom out and start with a bird's-eye view. With this method, you will begin with an overarching narrative or world design, and then systematically fill in the locations. This will give you a constant theme from the start to work with, allowing for a more consistent world and a better flow as you will have already planned out what happens where. It also keeps retcons to a minimum, as you are less likely to want to radically change everything halfway through.
The outside-in method suits people who enjoy planning everything out, and those who are prefer high levels of consistency. You won't get anything substantial out of your game for a while, and when you start mapping and so forth it can be less exciting as you already know exactly what's going on. If you plan out everything quickly, your game may not be very diverse as you won't have spent long thinking about it, and this is boring to the player. However, actual development will be easier as you will know what needs to be done, and the game will be more consistent. You're also less likely to get stuck halfway through.
Both methods have pros and cons, but fortunately they're both extremes. The style that best suits you is most likely somewhere between the two, but exactly where will depend on the person. The only way you can find out what works for you is to try!