I have always prefilled as much as practical. For the 2.3L Pinto and the Chrysler 2.5L SOHCs, that meant filling it with oil, then setting it aside while I drained the crankcase, removed the old filter, and replaced the drain plug. By the time I was ready to install the new filter, I was able to spin it on without spilling any oil, which had by then been mostly absorbed by the filter medium.
For my current cars (2001 Passat 1.8T and 2003 Dodge Stratus 2.5L DOHC), full prefills are very easy, because the filters hang vertically or nearly so. Oil changes on the Stratus are a breeze, particularly with my rhino ramps, since the filter hangs down next to the drain plug.
I figure an oil filter prefill can't hurt, so why not do it if convenient? Obviously, it's not an option on my brother-in-law's Porsche 944, with its base-down orientation, which makes absolutely no sense to me, because every cold start is done on an empty filter.
Oil filter changeout tip for VW Passat 1.8T owners: remove the coolant overflow tank's three retaining screws and gently pull it towards the firewall. Oil filter changeout tip for 1976 Pinto 2.3 owners with C-3 automatics (if there are any left!): remove the circlip on the transmission kickdown linkage and move the top end of the rod to provide clearance for filter R&R.