The only answer I can give is “It depends.”
Every writer’s goal is to create a work that pulls a reader relentlessly from the beginning to the end of a piece.
But to do that, do you need to start writing from the beginning and plow through in a unwavering line to the end? Personally, I do. But I also know that each creative mind is unique and my methods could well be a disaster for someone else.
The important thing, especially when you’re starting out, is to simply sling those words around and practice. You have to practice crafting words into vivid, meaty sentences — the way a musician practices scales and a potter practices throwing pots on a wheel. So write down the scenes that are already playing like movies in your head. Write down imaginary dialogs that come to you on a rainy night. Practice choosing exactly the right word, and then the perfect one after that, and the next, and then when you finally get a paragraph written, leave it for a day. Come back the next and the pare off all the unnecessary words (and there will be lots!) and polish it until you’ve made something so colorful it practically glows in the dark.
These passages may never become part of a larger work, but hold onto them anyway, the way artists hang onto their sketchbooks. They will be evidence of your growing mastery of your medium. They can provide inspiration for more pieces down the road. And as your skills increase, I think you’ll start to see the answer to your question above, because you’ll have a better understanding of how you, as a writer, work best.