If I'm in the earliest stages of inventing thematic material, I'll work at the piano and sketch it out with pencil and paper. But that's really just to get it written down so I don't forget it. From there I'm immediately thinking of orchestral voicings and instruments. Ideas usually come into my head in the order texture first, then instrumentation, then notes, so tone color is an essential aspect from the beginning. I never, ever write a piano piece first and then orchestrate it.
I'll develop a plan for the form of the piece in my head as I go, but I don't write it down.