Well I use the protoboards to physically hold the components in place. Then I wire the pins I want with jumper wire (26AWG). Sometimes I go over the top, sometimes under the bottom, and sometimes I go along on one side for a bit, then through a hole onto the other side! I really don't know if there is a right or wrong way to do it.
For example, this is my spaghetti ISP programmer board for my JeeNode SMD
Components wired from the top, bottom (and given half a chance, sideways!).
It's very useful to sketch out what you are planning on a bit of paper in advance. Sometimes you discover that just rotating one of your component simplifies routing. I had exactly this happen with the ISP connection on the board in the pictures above. I had initially planned to connect the 6 pin ISP header 180 degrees round, but as soon as I sketched this out on paper it showed that connecting it would be far simpler if I opted to swap it round.