It's a matter of back and forth normally. Again, everything in a laced wheel is related. If you work only on truing until it's perfect it may be out of round, but you can't really work just on round without the rim being true enough to be over the indicators and not tilting from side to side.

A new, unstressed rim is ideally already perfectly true and round - and within manufacturing tolerances it basically is. You don't really true a rim, you true a wheel, and you do so by adjusting the tension and effective length of spokes so that they hold the rim at all points so that it is at a perfect right angle to the hub axle (true) so that all points on the edge of the rim are the same distance from the center of the axle (round) and so that the rim will run in the center of the bike frame (dish).http://sheldonbrown.com/tooltips/truing.html