I prefer to code the XHTML/CSS first and then copy-paste/adapt it into the templates, everything is more consistent and you can have a real preview of how the page will look like once it is working dynamically (plus test it in different browsers, etc...).
(In my opinion) It is also faster to do it this way because you first focus purely on the Front-end and then start copy-pasting/adapting the code snippets (once you get to develop several themes you can create a code snippet collection with everything you need).
When I have tried to code it straight I always leave unclosed tags, create non-consistent CSS classes/IDs (specially when creating big websites with hundreds of CSS lines) and other minor mistakes in which I need to spend time later fixing...
My best advice is for you to try coding both ways. Then compare which one has been faster to develop, how comfortable have you felt and which one you prefer for your future projects.
Good luck!