There are several schools of thought on this one. One is absolutly correct, one is sort of correct, one is just easy and provides better support than nothing but is not ideal.
The absolute correct way to do it is have the car on a surface plate with no suspension. It is impertive that the the car to be absolutly level with any out of square, wedge, or twist removed. Then install the connectors.
The best reasonable compromise to this on a completed car is to support it by 8-10 jack stands, again making sure it is square and level. Suspension position with this much support is not a concern as any chassis loading that the suspension make would be found by the leveling process. If you are just using 4 points for support, then putting the suspension in a close to ride height position would be the next best approach.
The least correct but most popular method seems to be just weld them in while the car is on the ground. The idea being that it provides better support than not having any connectors in but still maintains the panel alignment that you have already. While this is a true statement, doing this will also lock in any wedge or out of square condition your car has.
The whole point of being square and wedge free is that then any chassis changes and subsequent reactions can be evaluated and reviewed for consistency from corner to corner without having to resort to irregular adjutments to reach equal points. However, with that being said, a lot of us cannot differentiate such subtle changes and most of us will never drive these cars to a level that requires such precision.