There is no one right way to work in Power BI. It's a very individualized product and process:
That being said, let's review the typical workflow in Power BI:
A user can begin by creating a connection to data using the Power BI Desktop and pulling the data into the in-memory data model.
The data is then modeled, that is, edited, transformed, and so on.
Reports are built in the Power BI Desktop.
Tip
I like to see multiple report pages built, with each page covering a particular area. By this, I mean that if you are displaying sales information, you may have a page for products sold, customer sales, salesperson information, and so on. My reasoning is that once the visuals are in the service on a dashboard, clicking on the visual will open the report on which the visual resides. If I click on a Salesperson visual, I will probably want more information based on Sales people. Organizing your reports will achieve this kind of organization.
The data connection, data, and reports...