Bevel first and then slick the edges, it will look better, although rough edges can also look good! a well slicked edge will also add longevity to your work. Yup that's a saddle stitch!
There are several really good slicking posts on this site that you can look at. Myself, I first slick with water, then gum trag and then bees wax. using a plastic slicking wheel i got from Tandy, then i use a piece of Jade i had laying around and the i use a piece of denim.
I usually slick with water, then dye my edges then the gum trag and bees wax