The grid first, which can be picked from a limited stock, I choose to design my own, then the words, which I pick one at a time, although I do have the facility to press 'Autofill' and it will automatically fill it if I wish. Then the hard (or fun) part, which is the clues.
When I'm making the triple teaser, I look at potential words as I'm filling with the foresight of possible triple wordplay, looking out for double meanings, possible anagram fodder etc.
When I'm creating the Joint Effort, I sort of look for words that may suit certain setters from the forum, which may sound a little crazy, but as I'm picking them, I might say to myself, Oh! that one would be good for AB or, that's got ixion wrote all over it and if it has potential risque qualities, then that goes to pastille.