There's no "right way"" or "wrong way" about it but it does depend alot on the type of press and type of shell you are reloading.
Single stage press, you tend to do each stage of the reloading process in batches, i.e. you deprime a batch, then resize a batch, etc. You can easily clean after depriming. On a progressive press everything happens in sequence, so unless you are depriming totally seperately, you do not have an opportunity to easily clean between steps.
For pistol cartridges, cleaning and swaging the primer pocket is kinda pointless, and as a few have mentioned you have to check to make sure the thing isn't getting plugged up.
Folks doing long range accuracy rifle shooting tend to want to take out any possible variable so they get serious about the case prep, much more so than for pistol. Regular rifle shooting doesn't require this level of attention.