There are many ways to approach digital art. Many artists start out with a pencil sketch of near completion, then scan it into a photo imaging software application such as Photoshop. I use Photoshop CS and CS2 respectively; CS is my favorite, since CS2 removes the capability of merging linked layers. For those who draw as erratically as myself, adding layers when needed to test new ideas, the merge link ability is key to producing art and rotating it, which simulates using traditional paper.
I use a 6x8 Intuos 2 Wacom tablet for my work. I basically sketch the main look, erasing here and there to refine specific areas. When I want to try a technique or look, I create a layer above the main pencil layer and test it out. If it works, I erase what's undeneath and then merge the linked layers. Again, this can only be done with CS. CS2 can "merge down", but you can't rotate the pic with linked layers like you would if you were drawing with paper. Cool stuff in CS, I love it. Anyways, I sketch everything in blue. Why? I think it just looks cool and it makes it easier to ink over it without confusing the work that was done in pencil with inks.
(For those of you interested in settings, I start my pics off at around 10x15 inches, 150dpi. I use a standard airbrush at around 4px, 100% opacity and 39% flow. Or it might be vice versa, I forget. The blue is a standard swatch from the swatches palette.)
Here's a look at the digital sketch: