I'm not the auditor anymore, but when I was, I did a mixture of both. As Starter said, some areas, such a lending, it is just easier to look at one file for everything(flood, RESPA, HMDA, Reg Z, etc) then to just audit for one reg. Some areas, such as BSA, it just fits to audit just for that reg. Either way, you will probably notice things that you aren't auditing for that you may want to persue or put off til the next audit. Either way, don't limit yourself to just the areas that you are auditing. Keep your eyes and ears open.
You gain education by reading the fine print. You gain experience by not.