Back in the old days, when I started my first mage, or first warrior or whatever, I would have chosen the 'train as I play' option. But once you learn a mage, it loses its fun factor and you want tojust get that part over with and get into the real game. Which to me is the rp plotlines and activities that go on. That means getting the character to whatever level they should be at as quickly as possible so that your 'end game' can begin, whatever that end game is to you.
Now, a little deeper than just 'how do you develop your characters' skillwise, my development of a character starts long before I have any skills at all. I start by coming up with an attitude for the character. How he talks,how he acts, etc...
Then I come up with a background for that character. How he got to where he is in the world. What/Who he likes or dislikes. What is 'role' is going to be.
Then, I pick out what skill sets make sense for that character. Which isn't always what's the best template of the day or what skills are weak or strong. At this point, I actually start to create the character in game.
After his attitude, background and skill template concept is done, its time for the most important part, What does he look like? What does he wear? From there, its just a matter of finishing the in game creation, getting his outfit together and training the skills.
The end result is a character that actually means something to me. If I don't want to write about my character, I probably won't have him for too long. With three active accounts (out of 9 that I still own) I have characters that don't see a lot of activity in game. But they still figure prominently in written stories and plots that I create.
Also, I an open to the possibility that how I created my character may not be how that character stays. An example of that is my original warrior character. He started out being a swords/shield fighter. He moved around between swords, fencing and macing depending on what I was in the mood for. However, a long running plotline for my House had a part of it where he was attacked by someone that was out to destroy my family. That attack left him without the use of one of his arms for the most part. As such, his weapon/shield days were no more and he dug into the books and learned magery. To this day, he can hardly move that arm and it shows as being atrophied on his profile so that anyone looking at him will notice that fact.
Now, all of that falls outside of what you initially posed as a question in the poll. But, it is part of how I 'develop' my characters. As I see them as being much more than just skill holders but as individual characters with their own personalities and behaviors.