For beginners, I definitely recommend coding in small sections. Code the HTML/CSS for one section of the website (not too much!) and then check it in all the browsers. That way, if something breaks, you can definitely narrow down what is causing it. It's frustrating to code the whole page, check it in the browsers, and find that one (or all) are way out of whack.
As you get better, you can check it less frequently. Many people, myself included, just check at the end of the document, validate then, etc. Until you get the hang of coding and feel fluent in it, definitely check it every once in a while.
Especially in IE. Those versions of browsers create some wicked results sometimes, especially when floats are involved (as ServerStorm mentioned)