As artists, we all have our different processes. For me everything always starts with the loosest of sketches or thumbnails. This enables me to work out if I like the idea, and if the composition is working for me.
The real benefit of this is that its just a few passes of sketching that becomes completely disposable. There's no loss in churning out 10, 15, 20 of these thumbnails. Its such a quick process and only serves to benefit the final outcome.
I find if I was to just dive straight into the pencils then I would feel to locked in to the idea and composition at an early stage, and if its wrong at the start then its much harder to redeem it in the final image.