I've been doing build engineering (among other things) for 16 years. I am a strong believer in build-early, build-often, continuous integration. So the first thing I do with a project is establish how it will be built (Java: Ant or Maven; .NET: NAnt or MSBuild) and how it will be managed (Subversion or some other version control). Then I'll add Continuous Integration (CruiseControl or CruiseControl.NET) depending upon the platform, then let the other developers loose.
As the project grows, and the need for reports and documentation grows, eventually the builds will take longer to run. At that point I'll split the builds into continuous builds (run on checkin) that only compile and run unit tests and daily builds that build everything, run all the reports, and build any generated documentation. I may also add a delivery build that tags the repository and does any additional packaging for a customer delivery. I'll use fine-grained build targets to manage the details, so that any developer can build any part of the system -- the Continuous Integration server use the exact same build steps as any developer. Most importantly, we never deliver a build for testing or a customer that wasn't built using the build server.
That's what I do -- here's why I do it (and why you should too):
Suppose you have a typical application, with multiple projects and several developers. While the developers may start with a common, consistent development environment (same OS, same patches, same tools, same compilers), over the course of time their environments will diverge. Some developers will religiously apply all security patches and upgrades, others won't. Some developers will add new (maybe better) tools, others won't. Some will remember to update their complete workspace before building; others will only update the part of the project they're developing. Some developers will add source code and data files to the project, but forget to add them to source control. Others will write unit tests that depend upon specific quirks of their environment. As a consequence, you'll quickly see the ever-popular "Well, it builds/works on my machine" excuses.
By having a separate, stable, consistent, known-good server for building your application, you'll easily discover these sorts of problems, and by running builds from every commit, you'll be able to pinpoint when a problem crept into the system. Even more importantly, because you use a separate server for building and packaging your application, it will always package everything the same way, every time. There is nothing worse than having a developer ship a custom build to a customer, have it work, and then have no idea how to reproduce the customizations.