Well blocking is just a way to 'set' your knitting so that it keeps its shape.
You can block by laying flat, pinning the item to size and dampening with water. You can also immerse it in soapy water, rinse and roll in a towel to squeeze out water, then lay flat and pin to shape and size on a clean dry towel.
I block things like garments, but would also block scarves and blankets. I would definately block my cable knitting (I didn't block the Irish Hiking Scarf and I most assuredly should have!).
It can be time consuming but I think worth it in most cases. Will be blocking my baby blanket today in fact! Might post the process on my blog.
Anyway, hope that helps!
Oh Hildegard, I would generally sew things together and then block.