I like doing it in steps and different programs because I have better control over the quality, bitrate, pulldown etc, plus it calculates the bitrate to fit all the files in the current group onto the same disc. Once I have the MPEG2 file I author the DVD in Adobe Encore. Up until this point everything I've done was SD (well except one wedding I did with a rented FX1 a few years ago) but I plan on offering BluRay as an option. So that'll change the workflow a bit.
I also put the stuff I shoot up on Vimeo so they can look at it before I make the final disc - plus it makes for good promo material.