I don't think it's BAD to start at the beginning. That's to say, I don't think it's any better to start from the middle, end, or beginning.
For me, it's usually a certain part of the theme that really reaches out and shakes my core. I start there and keep building until I'm satisfied with the result, adding as much of the original theme that fits, often leaving out entire segments and phrases or interpreting them to an extent that I have to spell out to people how it's actually an interpretation of the source (I've had several submissions declined because they were way too liberal).
I guess the most important thing is to find the part of the song that you want to be your center, your climax, and build everything around that. Doesn't matter if it's the beginning, middle, or end of the source.