all depends on what the cutscene shows.
in one of my missions there's a complicated flashback sequence which happens in a town that's just been massacred. all the dead bodies have to be removed, the time of day has to be changed, and since it happens within the mission, the player and his squad has to be protected and kept out of the cutscene vicinity. then once the cutscene is over, everything has to be put back exactly as it was. very tricksy.
in other circumstances, a cutscene flows naturally, for example if you meet a character and have a conversation, that's very easy to do realtime. character is already there, player runs up and is already there, all you need to do is make sure neither of them gets shot during the cutscene, and after it's done the action continues.
all depends on the purpose of what you want to show, but by and large i create missions with a vague idea of where cutscenes would be good, then those get done last. it's not a whole heap of trouble unless you intend doing something troublesome.... go figure