sd2005gt: I'm not totally sure, but I don't think that's a good idea. It seems like connecting the speaker cables when everything's on could cause some serious pops, etc.
I think the classic way is to power up the front end, then the preamp, then the amp. Turn everything off in the opposite order. So the front end is first on, last off.
I think the classic way is to power up the front end, then the preamp, then the amp. Turn everything off in the opposite order. So the front end is first on, last off.