When using the Entity Framework there are basically two ways to create your model. You either create the model in SQL server or in Visual Studio EF designer. Those are outlined below.
You first create the model in your SQL server DB then point EF to create the .edmx file for you. By using this approach you can use SQL server management studio to create all of your models and relationships.
This approach is to create the model first in Visual Studio and from that create your database. By doing this it seems like you don't have to be soo concerned with tables and relationships.
I start by creating my model using SQL server management studio. I do this because I think its easier to create and modify tables using that tool, also I know exactly what is being created. I create my EF model by pointing it to my existing database. After that I create a Visual Studio Database Project so that my database is scripted into files which I put into version control. When I need to make changes, I change the database and then update my .edmx file as well as my database project.
I was wondering what are the pros and cons to these different approaches and what should be the criteria to decide which to use? Am I doing it wrong? Should I be creating my model first in Visual Studio?
I don't think that there's a 'right' or 'wrong' way to do this, a lot depends on how you deploy your code, where it goes to etc. There is also a third way, which Scott Guthrie blogged about recently:
As a side note, even if you start with the model designer, I think you always have to think about your tables/relationships, as getting these wrong in the database can cause you big problems further down the line.