I agree: Do it OUTSIDE the case.
Another reason is I like to have the mobo out on a table so can access it from all sides, to apply CAREFULLY the thermal paste to the CPU and make sure the HSF is seated on said paste and attached properly. Even if the HSF comes with its own paste/wax compound (as most do), I remove it (since it's an unknown compound) and as I prefer to know FOR SURE what my thermal paste is, so I always remove what comes with it and apply what I use -- Arctic Silver. All that's harder to do with the mobo already inside the case.
While it's out, I also install the RAM...