My father always shut down everything, sometimes even the engine, prior to coasting into the driveway. On our older vehicles, he'd usually turn on max heat about a block or so away as well.
I just turn everything off right before shutting the engine off. That's good enough for me. I might shut down the A/C a bit early, like backing down the driveway, but that's it.
I doubt it makes a bit of difference. Cars everywhere around here would be problematic if it were.