When I'm developing my party/characters I like to experiment with different combinations or builds that seem unorthodox to see what I can make come out of it. I don't try to max out levels or anything. In fact I prefer to try to beat the game with out having to take time to grind up a few levels. If I do grind it's becaue I want to unlock some special class or ability or something just to see how it works.
The way I play through the game depends on the game itself. If the story is good I usually focus on following the main plotline. If there are lots of neat places to explore then I'll check them out instead. If it's a really good game I'll see what I can do on my own, and then I'll play through the game a second time looking at a walkthrough so I can look at all the stuff I missed the first time.