I find it preferable to have as much hooked up beforehand as is practical. Properly arranged, this puts less stress on me, the gear, speeds setup and breakdown, eliminates potential for error, and keeps everything neat, safely stored, and under control. Certain connections may need protection, angle adapters, or short pig-tails - things like TRS plugs that would otherwise stick out from an input and create a lever-arm (right angle adapters can help there), or the small vulnerable DPA microdot connections extending out the end of XLR adapters (plug them into short XLR pig tails and tuck them under the recorder rather than having them rigidly protrude out from the side).
A lot of tapers setup the stuff in their recording bag that way, so that they only need attach microphone cables and mics to get rolling.
I tend to take this to a greater extreme than most, in part because I run multichannel arrays with high channel counts that would otherwise be quite a hassle and mess to setup and confirm each outing. In my big primary rig everything from microphones to recorder remains hooked up at all times. The microphones are already attached to their support system in their windscreens, and all cables are pre-routed through a single collective sheath which runs from the mic-support system to the recording gear stored in a second compartment of the mic-storage/recording bag. I can walk in, setup a stand or clamp, power-up and be recording in under a minute, stress free, knowing I have all 8 channels of microphones routed and wired correctly, without a bunch of wires and gear all over the place.
If recording on stage using an alternate microphone array or some situation where I need mic-setup flexibility I'll have the stuff in the bag hooked up but carry the mics and mic-cables separately, and it always amazes me how much more of a hassle that is to setup and break down.