I sort out the edges to give me a place to start. More often than not, I'll overlook one or two pieces but the important part is having the general outline of the puzzle so I have a border to mount pieces to.
I'll also put out the miscut pieces regardless if theyre edges or not that are still stuck together so I don't get them separated; they're kind of like freebies. I'll often start little islands of pieces I've assembled inside the puzzle, but edges always go first.