Sketching wireframes on paper is the quickest and easiest way to start your initial ideas. They provide a pared back visual representation of a user interface - they are quick and dirty. Wireframes show the hierarchy of information on the page and outline what needs to be on the screen to satisfy user and business needs. These are the basis for the visual design treatment.
Once basic designs have been made it's time to get more detail and to make them digital. I almost always use Axure or Sketch for this. Now is the time to add detail and the finalised copy (if you have it). It's also the time that you will need to annotate and include all the information stakeholders will need to understand your ideas and thinking.
Finally it's time to add the fine details and include everything you need for robust testing.