I normally follow the following protocol for Wordpress Development :
Step 1 : Create the Graphical Layout in Photoshop and send the Mock ( JPG ) for approval.
Step 2: Once the Mock is approved, The PSD to HTML Conversion is done and the URL of the HTML page is send for approval.
Step 3: Once the HTML is approved , HTML to Wordpress Theme conversion Takes place.
Step 4: The Theme will be installed on our development server and URL of the wordpress site is send for the approval of the theme.
Step 5 : Once the theme is approved , Internal pages are created and other functionalities are implemented.