It’s probably better design-wise to make it in Photoshop first or even immediately in HTML and then to convert it to a theme.
It’s just easier to manage pure HTML and not be distracted by all the PHP stuff while you determine the design.
Well, that’s my approach, it’s common now to design in the browser, so you can as well do it in WordPress right away, but I think it’s just better to split the process into two parts: design and functionality.
It’s very straightforward to themify the completed HTML template , so there’s no real reason to do them both in the same time, I’d just focus on them separately.
That’s a good way to go because you can make sure you’ll only include what you’ll need and no extra cruft. You may also want to consider using a bare-bones WordPress theme as a foundation to assist you with the transition. I had to do this a while back and went with Starkers, as it’s so stripped down: http://viewportindustries.com/products/starkers/