Ah, yes, the tedious, but sometimes worthwhile venture of getting out the ironing board and iron each time you create a seam. Burn fingers burn! But it really does help, especially when you crate patterned blocks that almost need to lock into eachother. The "locking" or lining up of seams and blocks is much easier when the seams are all neatly pressed down.
It is also beneficial for pressing darker seams away from the potential light fabric counter part. Lets say you sew a piece of white fabric to a piece of black fabric. Press the entire seam over to the black side on the back. Otherwise you'll be seeing the seam through the front forever.
But something I learned was you can do a fingernail press too, just to stave off the iron for a little while. If you don't want to get the iron out at each step, take your fingernail and press the seam down from bottom to top.
But if you do get the iron out, remember, you're PRESSING, not IRONING. So put the iron down and press, don't move the iron up and down like you're ironing a shirt. Don't ask me why, that's just what I've been told. Anyone care to elaborate?