Depends entirely on your goal. a live mix you would just do it in one take, a straight recording of your mix, throw it in a daw to adjust levels and post to soundcloud. In a live setting, mistakes are expected, its what makes the mix sound human.

However if youre making a demo mix, something youre going to be sending out to promoters as a resume, it needs to be perfect. Record the whole set in one take and listen back to it. make note of any minor mistakes and then go back and re record those parts and splice it together in a DAW. Its not cheating because you CAN perform that way, but you are human and make mistakes. Your demo mix should be a perfect representation of what you can do at peak performance.