i would think the best way to do it is to have the first page of fields do the INSERT, grab the new ID, then pass that along in the querystring, hidden form field, session....
each subsequent page, do an "update" on that record.....
on the last page (and last update), set some column like "Is Complete" to true so that you (easily) know in the database that a record is complete or not
if you don't save until the very end, imagine your web page visitor's frustration of filling out multiple pages only to time out or have their browser close and loose all that time and effort because none of the data leading up to the last page was saved to the DB yet