If I'm going to knit or crochet an afghan, I do prefer to make it in one piece. But that's not always the case.
A lot of patterns are geared for just stitching squares and sewing them together. Well, as I said in one previous post regarding your tail stitching.....you can sew them in while you go or you can sew them all when you're finished (not me!)
My suggestion is to create several squares, and sew them together. Then after each square is completed, sew it to the other squares. This way you don't have all the tails to put in AND sew ALL the squares together. Do this for each row as you go and when your next row is completed, sew that to the previous row. When all the squares are finished, you will be almost home free! You may think that it took longer to complete, but not really.....you don't have to sew much more to complete it!!!
Some projects may even ask you to crochet around the whole afghan as well. Imagine if you HADN'T sew them as I suggested? You would have a LOT of work ahead of you! This way all you have is the final finishing!!
HAPPY STITCHING, my Friends!