It depends on the puzzle. For a puzzle that I can *almost* (but not quite) solve without candidates, I put a few in as I go. For harder puzzles, I do all of the candidates first. Most of the time, I use a sudoku program such as Richard Broughton's
Sudoku Solver to do the candidates for me, so that I don't make mistakes and mess up the puzzle before I've even started to solve it.