Always too-geth-herrrrr. The fugue is one body of sound not seperate voices so get use to all of it straight away, if you pick away at it you may start tempting yourself to give bais to one thing or the other. Rather maintain the volume of passages that are prone to be naturally weaker in sound.If you must take it seperatly first that is ok, so long your aim is to get it together straight away and not consider the voices seperately. I feel it is a trap to think that fugues are melodies played on top of one another.
It is important to remember that pianist/organist/harpsichord or other keyboard performers tend to think of the final performance of a fugue as a single pallete of sound - and thus a misleading sense of individual voicing. While infact if each voice of the fugue were divided among different instruments, every performer of each voice would have to individually shape and colour it.