When I first started writing Burning Bright, this is what I did because I just wanted to get to the story already! Part-way through, though, it started to get confusing and I realized I had to stop writing the script, and actually write down some facts about the world beforehand.
Now I have maps, a brief history, a belief system, and appox. 900 words of the Thyrian language. I'm also STILL having fun delving deeper into society and culture in different parts of the world, and working on their economy.
One of my favorite things I've come across in my own world building is coming up with saying they would use. In our own world, every language and culture has different sayings that don't translate into other languages, and it would be the same for any created world, I think.
The hardest part for anybody is to refrain from adding all these elements into the story in a long prologue or pages and pages of "backstory" type dialogue. My plan for the future is to create a "behind the scenes" book to sell where I can include all the details about the world, so I don't bog down the story with them!