What I do is just think the story through in my head, coming up with all the plot points and major events, then start handwriting it. Occasionally I'll then type them up afterwards, in which case I suppose the handwritten copy would be a rough draft, but I never really think of it that way.
The problem with this is that a lot of my stories have been largely planned out, but I haven't started writing them because of a couple of plot points that still remain unclear to me. In those cases it'd probably be better to just start writing than to continue thinking things through, but I never do. sweatdrop