It depends on your skill and knowledge about 3dgs.

A beginner should use WED first. Insert the blocks and entities (models).
Assign the template actions to them, buld the level, and then run the game directly from WED.
-> look up for the tutorials for the templates.

If you are an experienced developer:

You make a basic simple Map in WED.
You create a new project in SED, and implement the basic initialisation functions.
(opening the testlevel, setting screen-resolutions, capturing key+mouse inputs)
And then you create your actions and scripts.
You can either create the models/entities in WED and assign acions, or you create them in
runtime.

MED is your repository for looking at, manipulating and creating models.
In the very first stages of your game you just need some test Models.
In later stages you create or convert models and terrains as needed in your game.

Depending on your type of game you will either work mainly in SED (changin the behaviour of the game,
and debugging)
, or in WED (editing and testing the levels)