You can do both...start with a concept and then think of why they would have the skills, etc. and role-play it. Mr. Eastwood went 9 missions before learning (painfully) he was Awakened. It was the funnest mission to role play and then the character went from gunslinging cowboy to studying magic...Arcana, knowledge skills, foci and even initiation, all of which I could have done sooner but just didn't fit the role-playing of the character. I gave him starting skills like animal husbandry and Western Lit & movies...all of which I have gotten to use at some point.
Play what you like. I know I am going to miss Mr. Eastwood when moves off to the land of Prime Missions soon but at the same time I am having a hard time sticking to 1 idea for my next character (hmmm....Norse Berserker no-tech to the ninja with high Palming that sticks bombs to everything, a la Fallout exploding pants! like Crazy Harry from the Muppets). I even thought of a total knowledge skill character.