What is the best way to go about testing?

So I have a until now completely untested project, but I'd like to start (unit) testing it to avoid bugs, as I've already noticed in other projects how painful it can be pushing changes to fix one bug that break another one.    The problem is, how should I approach this? Not from the technical side, Django has good docs on how tests work, I'm just curious what your approach is to testing, do you pick one class, test all functions and go to the next one? Do you try to cover everything you deem most essential and widen your coverage over time? Or do you have a different approach?

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