Whenever I write, I always find that it's best to write a chunk, then have someone read it and give me opinions. I try to keep it small enough that it's fairly easy to make changes, but large enough that they can do quite a bit at once. Not that that should affect what you decide at all, just it's what works for me.
Basically, what I'm trying to say is that while advice from friends can be a good thing, if you don't like it, you don't have to follow it. Find what works best for you, and don't let anyone tell you that they have a better way. Listen to advice, but don't think you're required to take it.
So try it both ways. Do it where you write lots, then get feedback, or where you get feedback as you write. People do it both ways. Just do whichever works better for you.
But do get feedback at some point. It's very important. In fact, most of the things that I've written without feedback tend to go in the trash. I would recommend getting feedback before you finish, but it doesn't have to be as soon as you write something either.
And writing excuses, mentioned by Chaos, is an excellent resource for aspiring authors. I love the tips and advice, and have found it to be a great help.