TDD procedure for writing tests for a function with multiple execution paths

While following test driven development, I came across a function that I need to write which is similar to the following:

public MyClass DoSomething(string value)
{
    SomeClass existCheck = repository.Get(value);

    if(existCheck == null)
        throw new InvalidOperationException("SomeClass must exist to do something");

    if(existCheck.MyClass != null)
        return existCheck.MyClass;

    MyClass myClass = new MyClass()
    {
        // create object
    };

    return myClass;
}

Using TDD, I would need to write seperate tests to

1. Assert that the exception is thrown
2. Assert that an existing SomeClass is returned
3. Assert that a new MyClass is returned

Do I write all three tests first then code them or do I write each test, then code the functionality in the function required for the test to pass and then write the next test and the code the functionality etc.?

I've always believed that with TDD you should take baby steps, with the Red-light Green-light approach. I would proceed in the following steps:

1. Write a test for the existCheck == null scenario, which will fail (Red-light)
2. Do the necessary work for scenario 1 to succeed, and re-run the test (green-light)
3. Write a second test for the existCheck.MyClass != null scenario, which will fail. You could often do this by copying your first test and modifying it.
4. Modify the method so that both tests 1 and 2 pass.
5. Repeat steps 3 and 4 for the final execution path.

Generally, I find you can progress with a test as the method proceeds, and then copy the test each time you reach a branch, tailoring each test to each differing path.