You may choose either option. Generally we suggest that if you have been together for a long time or have quite a number of issues, it is usually best for each of you to have an individual session first before then coming together.
If you have been in a relationship for a short time, or have only a few issues, then it is usually best to come together from the start. In most situations when I see a couple I have seem them together in the first session and individually in the second.