I'm generally working on several sets at one time. I like to buy large lots of the commons to fill out the sets, but I purchase the high dollar cards individually as I like to get them graded. I have found that when looking for nicely centered quality cards at reasonable prices it can take some time to get "the card". Buying this way, I'd have too much down-time between purchases if I was not working on mutiple sets or other interests.
I have to say that as I've completed several sets, I'm finding it more unpalatable to spend my cash on the high cost commons. Once I finish my latest sets, I think I'll start moving more towards individual cards of interest instead of complete sets. Of course I'll probably change my mid tomorrow!