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We had a pergola built on our back porch. In order to save some money, I agreed to apply the wood stain myself. I insisted on the contractor having the wood delivered well ahead of when he would need it so I could stain it on the ground and am very glad I did so. It turned out to be a real bear of a job, moving 10' posts and 12' boards. I had to do some touch up work after it was built and can't imagine having to stain the whole thing like that. Working upside down atop an 8' ladder and trying to get into tight corners is not how you want to spend your Saturday. The lesson is figure out what's going to be easiest for you and stick with it. The pros might do it differently and they may be 'right' but they also have years of practice and special equipment. 

Oh and one other note, use oil based stain or, if you live in the People's Republic of California, stain with the highest oil content you can find. It will go on MUCH easier. Lowes has a better selection of 'high oil' stains than Home Depot.