I thoroughly read the whole thing may times over to see what they want me to do, then I decide what I'm going to do based on that, whatever extra stuff I might be using (PE, resin, etc) , and my painting plans. Sometimes I just disagree with the sequence in the instructions, and after taking all things into consideration, build in a manner I find more logical.
One example would be the Skif BMP-3 I just finished yesterday. Skif has you putting all the upper hull detail on before gluing the upper hull to the lower, which would have been disastrous given the extremely poor fit. All those detail parts would have been destroyed in the power moves needed to take that to the hoop!
For beginners, I would recommend following the instruction sheet pretty close, though.
Ya gotta know the rules before you can break 'em!