Depends for me. If i'm wanting a quick game to kill some time i'll just pick up Pokémon and add them to my party as I go along.
If i'm wanting to play through properly i'll plan out a rough team for myself (Always different types - I NEVER have more than one type in my party, not including duals), and i'll stick with that team and train them all pretty evenly.
There's only been a few occassions where i've caught every Pokémon in an area, trained them up and then picked my team from those. I find it too tedious and I end up losing interest in the game so for me it's best to pick a team, train them up and stick with those Pokémon until the game is out of the way THEN start catching & training others.