There seem to be a few schools of thought to this, some believe in questing and grinding as you would do normally, but skipping collection quests (some may be necessary for a particular item or quest chain however), the other spends all their time in instances grinding away, the advantage is you get to see how your characters work in an instance and you get some decent gear along the way. It may also be easier to level your chars up a bit individually at first then group them up, but I am not sure it makes a huge difference one way or another.

The best place to look for more info would be in the wiki though.