If you're going to sort by weight you really need to sort the components. If you sort a loaded round you can have 2 rounds that have the exact same weight, but one might have a heavier bullet and lighter powder charge than the other. In my centerfire stuff that I compete with I sort the cases by weight after deburring the flash hole, truing the primer pocket, and trimming it to length. I don't bother to sort the bullets, though it might help, I just haven't tried it.
As for rimfire ammo I don't sort by weight as I feel that it's a waste of time. How do you know if the weight is different due to primer compound, case, bullet, or powder? I sort rimfire by rim thickness. The only exceptions to this rule is when I use SSK Match Gold or Eley Tenex, they're made to such tight tolerances that it's just not worth the time to sort them, but you do pay a hefty price for this stuff as well.
Robert