I used to always start on the Dry Erase Board... lately i'll just use a UML program like OmniGraffle or Visio to get the idea down. If it's something I'm going to be tinkering with a lot, i'll go ahead and load up MySQL Workbench - just so I can directly export the SQL.

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Where I Ramble: http://www.iwilldomybest.com/
What I do: Zynga Game Network
Senior Software Engineer at CityVille