It always good to begin with on page optimization. I other words, concentrate on coding your website properly for the search engines. Proper use of <h1>, <h2>, <h3> tags, w3 & CSS compliancy, tabless design, inner-page linking, meta tags, anchor text links and more, are all important factors.

Once your site and inner pages have been indexed, and your website is seo freindly, than you can concentrate on off page optimization. Building links to quickly, especially if your website is new, can hurt you.