There are lots of ways to go about it, and I know I didn't really figure out a good routine until I'd had my dog maybe six months. What I found was that the best way to train is to just make it a part of daily life. Basically my expectations of my dog is that she be well behaved in public and that we start progressing towards Rally competitions. It's not quite that simple, but here is what I do:
Do you train something specific at once or focus on a handful of things or do a little bit of everything?
If I am training a new behavior, I definitely focus on just that behavior, and I do it in the kitchen where there are no distractions. The kitchen is clicker-training space. After my dog is doing that behavior reliably without a lure, I will start asking for it during other sessions.
Other sessions, we just practice everywhere. In the lobby at work, downtown, out in the field, pretty much everything she knows except when we go hiking, which I have a different set of expectations for (hiking is more about good trail manners than obedience per say, different set of skills).
Is there something you train every session while others you do less of?
Every "session" is different but basically I am always training some basic behaviors, no matter where we go (yes this does entail carrying treats around everywhere): leash manners, sitting and waiting when asked, eye contact, and good behavior around distractions. There is no "off" moment for these things. With a puppy I would be more patient but that is how I work with my adult dog. We don't practice things like finish right/left very often because she's not solid yet around distractions, but you can incorporate all kinds of fancy heelwork into your daily walks. Make it a game! Keep it short and exciting!
And here's one photo of what we get distracted doing instead of training for obedience
This is the perfect scenario in which to practice obedience! Your dog has something she really wants, and you can have her offer behaviors to get it. Sit for the toy, down stay for the toy, whatever you think you would like to practice. Just make sure you play with her enough so that she doesn't get burned out following commands. What I do is have my dog do a down-stay to get her ball 2-3 times, then we take a break, then if she seems up for it, we may do a few more. We also practice recall. Sometimes I throw in fun behaviors like "high five" and "yoga" just to keep things interesting.
As far as competition goes, I don't really look at it as different from teaching her tricks because I don't want to be the sort of person who becomes frustrated at getting points knocked off. I never want to get mad at my dog because she didn't do some arbitrary behavior to impress other people for me. If she doesn't sit totally straight, oh well, no cookie, and we'll just work on it. But we're not serious about obedience, it's just something I have been teaching her on the side because it keeps her happy and balanced.