You can go that route first, or test each component outside the case before putting it back in. If everything else is already installed into the case, you'll probably find it easier to do the former rather than the latter, but either way is perfectly fine.
Yea right now the only thing that's not in the case is the PSU. I took it out yesterday to take over to my friend's house. Got home late so didn't have time to put it back in.