I used to always look at the CB last, without even realizing really. When I went to get instruction from Ray Martin he had me switch to OB last. It threw my aim off for awhile, but once I got used to it, it did improve.
There are a few things to be said for both methods. Looking at the CB last ensures you are hitting it where you intend to, and also that you don't get distracted or see another path for the CB to take after it hits the OB. This is good in a sense, as it forces you to be lined up and committed to the shot; just be careful not to move. This also means you will be watching the CB path instead of the OB path, unless you switch at contact, but that's not as easy as it sounds. If you miss, you won't know how, but you will get a good idea of how the CB reacts.
Looking at the OB last gives you something to aim for, it also gives you a wider view of the table, which is good for those last-second decisions. However, changing your mind while down on the shot is never a good thing to do, so make sure to start over - ala Allison. This method is also more prone to "steering" if your fundamentals aren't solid. Looking at OB last will also most likely mean you will be watching the OB go into the pocket, or miss entirely. I believe this method is better to learn aiming and everything involved, such as contact and english throw.
In the end, I think it's, like so many other things in this sport, personal preference. If your mechanics are strong you should be able to make the shot with your eyes closed, but you won't get any feedback.