I'm really brown town about sorting my music. It's organized by folder, like:
C:\Users\Dave\Music\<Band>\<Album>\song.mp3
Actually, my entire computer is that neat.
My computer is also like that. Besides the fact that I have a minor case of OCD, I also had a horrible experience with a previous computer where files were not organized in any fashion. The computer eventually became so convoluted to even navigate that I was glad to put it out of its misery. With the new computer, I have a specific folder that each download goes into, so if its patches for ArmA 2 I put in it the "ArmA 2 Patches" folder, instead of lumping everything into "My Downloads" and hoping I can find them later.
Anyways, to answer your question, you should put the band before the song because it's much easier to remember the band's name and be able to access it in an alphabetical system than the song title.