Since I was a kid I spent many hours a day drawing, and I would always keep a sheet of blank paper and some pencils with me. I think sketching is one of the most important steps in the creation of an artwork, it is where you are able to keep your ideas alive. I make a number of sketches when I'm creating an original piece, I then fuse a number of ideas from the sketches to create one final sketch.
Nowadays many artists create everything directly on the computer. I don't think it is wrong, but it may cause the work to lose the 'spark' if it wasn't first conceptualised in sketch form.