Indeed, it totally depends. If you’re not all to comfortable with WordPress, it’s fine to code everything in HTML first, and then when you’re done, transfer it all one by one into a WordPress site.
Myself, I’ve been using WP for years so I’m comfortable enough with it to start with a blank template in WP and then go from there. I’d say that if you know how the templating system works in WordPress (the interaction between the header, footer, templates, and loop), then you’re probably better off coding straight into WP.
But then still it depends on the size/structure of the site.