There are plenty creative writing courses that teach us how we should go about things. I've never done one.
I'm thinking the proper way to do it is start with an idea, then create a plot timeline and a bunch of characters. Once that's done, the story can be written, starting at the beginning and working through in sequence to the end.
I didn't do any of that, other than starting with an idea. I wrote the first chapter followed by the last one, then filled in the middle in no particular sequence. I then had to be sure that everything worked properly. The outcome is my debut novel, "The Itch That Couldn't Be Scratched", available on Amazon and elsewhere.

I guess there's no real right or wrong way. It's really whatever works for you.