I think it varies person to person and you have to find what works for you but here's a summary of my style.

My advice is make a beginning, an end, and major plot points in between. Then connect the dots. That's what I do. I tend to make it up as I go along but I usually have an end goal in mind that I need to get to so the chaoters have direction you just don't always see it. Often I write my ending before I've finished my second chapter. However, this method takes A LOT of creativity, imagination, and the ability to just wing what you need to when you need to.

This method isn't for everyone but because of my lack of attention span it works great for me.