There’s really not a right or wrong way of doing it. It’s really down to how you want to do it and the end result that you are aiming for. You could model each and every building separately, without an issue. It’ll just take time if you’re working on a large level / scene.
You might want to look into using a modular setup. Essentially, it’s kind of like using Legos. You build a handful of sections, then put them together in Unreal. Google it for further information.