What's better to do when we create a new site project?
It depends on your site and the needs of your client, but it is probably best to start with an easy base theme and then start theming on top of that.

Some good basic base themes are:
Omega - Best used for responsive HTML5 designs
Zen - Good basic starter theme
960gs - Good if you need to use a grid format.

Also, you might want to grab some other themes for administration.

Recommended administration themes:
Rubik - Clean administrative interface
Admin - Adds a toolbar at the top of the site, which makes Drupal easier to manage