1) Begin building a good foundation by linking back to the main page.
2) When you rank better than most non-optimized sites you can begin building links to your pages. There are usually lower competition here depending on what kind of site you've got. So by targeting your work effort on these pages you will attract more customers in the beginning.
3) When you have a number 1 spot on your most important pages you can try to place your site first on the more competitive words, which you will be using your main site for.
Example:
We build an e-commerce site selling 6 different digital cameras. The first few weeks I would build backlinks to the main site targeting terms such as "buy digital camera" and "digital camera". When I outrank most of the non optimized sites I start building links directly to my product pages such as "Nikon D60". When I rank number 1 with my 3-4 top sellers I would start building links to "Nikon cameras", which is the category. After this a few months has passed and I have gain trust so then I will start building backlinks to the main site and try to target more competitive keywords such as "digital camera" and "buy digital camera online".
Note! The important thing to remember is that you will target a lot more potential customers (if you compare the effort needed) by ranking number one on the more niched "Buy Nikon D60" than you will with "digital cameras".