When I'm satisfied with the composition in pencil, I'll get out the acrylic paints and do an underpainting. I use acrylics for this because they dry fast, and I can quickly block out the major elements of the composition. This is the best time to make any corrections that might be necessary. I'll try to cover the entire canvas, but I don't get into any detail work here.
Then it's time to get out the oil paints. Actually, in my studio, they're always out anyway. On any landscape or seascape I will start with the sky. The sky sets the tone for the rest of the painting. I'll normally paint the elements of the composition that are most distant first, then gradually work my way forward. At this point there isn't much detail. Once the entire painting is blocked in, in oil, I'll set it aside to dry.
When dry, I can go back to it and start adding depth and details. I'll generally start with the darker colors, and work my way to the lighter colors. This step is where most of my time on a painting is spent. I'll usually save the highlights for last.
That is when the painting really seems to come alive. There's a temptation to rush to that point, but for me, I have to wait and get everything else in place first. When the highlights are in place, it's ready to sign.
Every artist has his own way of working, and there's no strict right or wrong. What I've described here is simply what I've found to work for me. I'm still open to new ideas.