Most basic question first: Is it better to solder each link
soldered as it is added to the chain, or is it easier to make the
chain first, then solder the links?
That really depends on the pattern being made. Some chains, like
loop in loop, require that the links be soldered before assembly.
Other patterns may permit soldering 1/2 the links prior to assembly.
Still others may require the links to be soldered as each is added
to the chains. Then there are patterns, that depending on you skill
with a torch, can be soldered after all the links have been
assembled into the chain.