Well it depends on what you are doing. Let's assume you are gonna do everything low-poly (i.e. no sculpting involved). You would first make the actual model, then you would unwrap it, then you would bake the AO, then you would bring the bake into photoshop and start texturing.

The downside to low-poly modeling is the texturing process is a lot more involved since the details are done by actually painting on everything. But the upside is that you don't have to sculpt. When you finish creating the texture, you can make a normal map out of it using the nVidia normal map plugin. Then bring everything back into blender to preview how it looks.

Okay, so I finally got to import my weapon in the client!