The 3.5 SRD entry on crafting magic items says...
Armor, shields, weapons, and items with a value independent of their magically enhanced properties add their item cost to the market price. The item cost does not influence the base price (which determines the cost of magic supplies and the experience point cost), but it does increase the final market price.
To create a magic weapon, a character needs a heat source and some iron, wood, or leatherworking tools. She also needs a supply of materials, the most obvious being the weapon or the pieces of the weapon to be assembled. Only a masterwork weapon can become a magic weapon, and the masterwork cost is added to the total cost to determine final market value. Additional magic supplies costs for the materials are subsumed in the cost for creating the magic weapon—half the base price given on Table: Weapons, according to the weapon’s total effective bonus.
(emphasis mine; there's a virtually identical paragraph for armor).
Thus, one needs a masterwork weapon plus "additional magic supplies", and that those additional supplies are consumed in the crafting process.
Purchasing a +1 club (using the standard pricing rules) would cost 2300 gp: 2000 for the "+1" part, 300 for the "masterwork" part and 0 for the "club" part. Enchanting an existing masterwork club to become a +1 club would require "spending" 1000 gp (half the base price of "+1") in supplies.
If one wished to do so, one could also make the club (or, depending on the GM, make an existing club masterwork), but that would invoke the craft skill's crafting rules.
So, yes, one needs to have the weapon (or armor) fully complete (in the "it's been crafted" sense) before starting in on the magicking-up of the item.
Cinematically, this GM would have no problem in allowing a player to say they were combining the two steps: forging the weapon and imbuing it with magic at the same time, so long as they weren't trying to cheat on the mechanics (actually, this GM would be pretty easy to convince to significantly reduce the normal crafting times, but that's a whole other issue).
Slightly aside: I strongly suspect that someone copy-pasted the second quote from the armor to the weapon section, as "armor pieces" makes a lot more sense than "weapon pieces", but the text is otherwise the same. That said, this GM can make sense of that by looking at ammunition: the "weapon pieces" would be the 50 arrows/bolts/sling bullets that are going to be magicked up.