While I haven't done any staing (unless you coun't using a blue sharpie [
]) I would imaging that unless you had a way to have the stain penetrate the entire blank you would have to stain after turning & sanding, as said above.
Now I would also imagine that if you stained before sanding, you might be able to do some of the neat tricks with double staining and such to get different results, maybe, just thinking off the top of my head.
Ryan