When sketching should you sketch out how each page or section will look before beginning to wireframe?
Should? You should do whatever works best for you.
I don't sketch — I wireframe directly in Illustrator. I'm waaayyy faster in Illustrator than with pen and paper. I get into problems sometimes because I'm too excited about the design and start working on visual aspects (colors! fonts!) before it's time. But on the balance it works better for me than sketching.
This is really a matter of style and it varies a lot from one person to the other. Some people will work on detailed high fidelity sketches before moving onto anything digital, while others find it easier to start in digital.
Personally I like to sketch very high level structures and concepts and move onto digital fairly early on, but then maybe that's because I have poor drawing skills.
Basically it depends on the problem, and what the person solving the problem is most comfortable with.
This really comes down to personal preference. There is no "better way" per se. You should use whichever method suits you best.
Personally, I don't use any Diagram or Wireframe or Mockup apps. I use an Image Editor called Real Draw Pro (www.mediachance.com, if you're interested), as it fits my needs perfectly. It allows me to very quickly and easily create complex vector-based mockups with precise measurements.
And when I don't feel like using the computer, I use pen and paper. Pen and paper is still my preferred method usually. I draw everything down - including measurements, labels, etc.
Always start lo-fi
Whatever your sketching (lo-fi) format may be (paper, whiteboard, digital, etc) you should explore every unique pattern you can identify in the discovery process. Wireframing is a more precise process where you attempt to document the interactions. Sketching is about exploration and it will greatly aid the accuracy of your wires.