I personly have put the rocks in first, then added the sand around the rocks. It alot easier than trying to push the rocks all the way down after the sand is in there.The reason we suggest you bury the base rocks is because many fish will dig. If they dig under your rock (that isn't sitting on the glass) the pile will shift and squish the fish digging and possibly other fish/corals in the area.
I also found that you use less sand that way.
Anyway, that's my 2 cents and that what I recomend to people setting up their tanks.