I don't know how others do it, but my last couple of Connections I started with my person, then looked for sources (Family Search, and ancestry library edition). If the person was English, Scottish, Irish, New Zealander, or Australian, I go to the online BDM sites and search. I also check Papers Past (New Zealand), and Trove (Australia) for possible newspaper articles. (This last week I have spent a LOT of time on the GRO, hunting down same-name cousins, uncles/aunts-and-nephews/nieces - and brothers/sisters where one died young and the next child was given the same name.)
If I find Fam Search has a profile for my person/family of my person, I check, double-check, triple-check, and quadruple-check that the sources attached -- and the family attached -- actually belong. Then I start expanding out the family, by generations - - and I check on Wikitree using the search person page : https://www.wikitree.com/wiki/Special:SearchPerson
These last couple of times I was fortunate to find a Connected relative where I only needed to create a handful of profiles, instead of dozens to hundreds. (I do not expect to always be that fortunate - and, indeed, have three lines for which I cannot find an already Connected WT profile.) Once I find that potential Connection, I go back to checking, and re-checking, and re-re-checking that I have the relationships correct, and that every step along the "chain" I am creating will stand up to scrutiny.
While that may sound "easy", it is actually very time consuming, because the family units on family search are not always correct, or correctly sourced. This last week I was detaching grandchildren so I could add in the parental generation, or detaching nephews from uncles and finding their actual parents. (I figure it's better to do it on fam search than to have someone else bring over the wrong relationships to Wikitree.)
So, basically, we do the same thing, just a little differently in approach because I don't have a paid ancestry account, so use FamilySearch instead .. supplementing that with ancestry-library.
And I "live" in the BDMs. (I'm not sure the GRO likes me, because I keep telling them they have missing records - where said record is on FreeBMD.)
(edited to correct typo - b!=n)