You should do unit testing as you add parts. Otherwise if you assembled it all and run into issues, it would be a mess to isolate the problem.
So first, test if the PSU alone is working. If so, mount it to the case. Then mount the motherboard, CPU, and one DIMM of RAM. Test and make sure you can get into the BIOS. From there, add additional RAM sticks, CPU Cooler, and add your HDD. Boot and install your operating system. Last would be your GPU and additional case fans or water cooling after everything else went well.