Ok, so an example would be that you take the header.php to start. Add html to that file and then put css in at the same time? Then you move on to the next php file.
You are going to be going file to file to file and back again. You are not going to be finishing a file then moving to the next one, though the better you can predict what should be in a file the less you will have to revisit it and the better off you will be.
You need to know what you are aiming for. In my case, I usually have sketches (PDFs) from a designer. I print these and work out a page structure. What parts of the page are going to be same across the whole site? What parts are going to change page to page? What parts are only changing on some pages? That kind of thing. This is important and is a bit of an art to get it right, and prevent backtracking and re-doing work.
Then, you really have to start with about four files-- header.php, index.php, footer.php, and style.css. I have never made a theme without functions.php either, but in theory it isn't necessary. The WordPress Theme Review guides also require comments.php and screenshot.png.
Get started. Add things like page.php, or category.php, as you need them, but I caution you against adding extra components until you actually have a need for them. I'd also get familiar with the 'get_template_*` functions, which are mentioned in the "Review" page mentioned above.