Should I finish a course and practice what I learned or should I finish the whole series of courses AND THEN practice?

I recommend practicing new things as you learn it by making a small project of some sort. That is what I did.

If you plan on finishing the whole course series, I recommend you use a notebook to write down the things you need for future reference and make sure to label them properly for easy search in the future, and one last thing, save the workspaces that you might need to refer back to also (name the file properly too).

This is what I did but it all depends on how you want to learn and practice.

From my experience I can suggest to practicing what you learned already. Try to do anything with functions you know. What I do is taking all functions I learned and try to see their barriers. See what that allows you to do. Use limited bunch of functions with your unlimited imaginanions. And most important thing is to treat all yours idea as a challenge. Don't by shy to ask on forums about your problems with code and check API for solutions. That will develop your workstyle and become natural workflow because programming is mostly asking yourself or other peoples for solutions