I prefer to test as I go, although that desire wanes as and when it starts taking a long time for bakes. Also, find issues with continual baking and testing, or seem to, not certain by any means., but I always seem to find a floaty shadow that floats over the landscape at some point. It's difficult to really say until we have a more functional mapper, as at the moment you are afraid to bake at the start and by the end you may not be able to anyway! So for me I bake as often as I can and check it is still working after adding new entities. Eventually I may well leave it as intended at the end and therefore save many hours of baking as we go.
Of course the preferable way, for me anyway, would be for the baking to quietly go on in the background in the editor as you are designing it. That way a lot of the bake time would end up being almost invisible to the user. Obviously with a way to enable or disable the feature for people not interested in baking for whatever reason. For me a baked scene looks so much better than a real time scene, it is difficult to understand why some are saying real time looks better. It so doesn't.
SPECS: Q6600 CPU. Nvidia 660GTX. 8 Gig Memory. Win 7.