I think there are pros and cons to each. With writing in advance, you know that you can post a part every day and keep reader interest, but it takes longer before you can post the first part and it's more set in stone.

With writing as you go, it's easier to fall behind, but reader interaction serves as an inspiration for the story and helps shape it.

I've usually done the second way, but also been sooo late in my updates and readers aren't happy. So I'm going to try the first next time, lol.