Really depends on what the project is. Assuming you are referring to an app or website.

I always start with an Evernote page with my general thoughts, then grab a pen and paper and start drawing what could be a barebones UIm then do more research.

I go through the cycle again and again until I am ready to graduate to Balsamiq for a clearer UI and have a clearer story to tell about the project.

I try to balance between doing and researching. I find that excessive research in the beginning is just another form of procrastination of just starting.