/my2cents
What I generally do is, (in Photoshop), do the whole UI as a whole piece, with each element on its own layer, then save the layers out into separate files. This helps me see how all the pieces interact with one another.
I think the bottom line is there is no "right" or "wrong" way to design; you have to go with what you are most comfortable doing. If you are comfortable with the way you are designing it, it will definitely go smoother and it will definitely show in the end result.
