As far as I can tell from knitting guides, it is (or has been) traditional to weave in your ends, and then block.
In my patterns, you might notice, I usually say to block and then weave in ends. Once in a while, I'll get a politely raised eyebrow over this.
And I always say, it's a matter of personal preference. Patterns are the road map, and you should drive how you like. If a road map told you what radio station to listen to in the car, you would just ignore it, right?
But here's why I choose to block-then-weave:
- yarn ends, properly woven in, are hard to un-weave, so I like this to be the very last step
- blocking fluffs up the yarn a bit, which gives the yarn ends more traction when I weave them in, meaning they stay in place
- I don't like to sew seams until the pieces are blocked (the edges are flatter and straighter after blocking) and I often use long yarn ends for seaming. For example, when making a set-in pocket, I leave a very long end to stitch the pocket lining in place
- wet blocking (which is how I almost always block) can reveal problems with the yarn. For example, some fibres grow and make the final project too big. Some fibres shrink, making your pieces too short and meaning you need to add length. Some yarn, if poorly spun, will create bias in the fabric, and you won't see it or know if it can be corrected by blocking until you block. In most cases, ripping out will be required, and there's no point in weaving before ripping
And I note with interest that Stephanie Pearl-McPhee (aka Yarn Harlot) also blocks before finishing.
One exception I should note: with colour knitting where there are many ends, I weave in as I knit. "