Usually it's best to get invited into a game first, and then fill out the Character Sheet in the game that the GM gives you. Often the GM will have specific requirements or special options that you want to know when creating the character. However sometimes it's nice to work on your character in advance. A good way to try the actual 5E character sheet in Roll20, if you are not invited to a game yet, you can Create Game in Roll20 and assign the 5E character sheet, as a way to learn it and try it out. Sure, some GM's may be ok with you keeping a paper character sheet at home, but many GM's will ask you to fill-in (or copy over) your character into the Roll20 online character sheet. So answering your questions directly, yes you could make a character on paper, but also yes the GM of many games usually wants to see your sheet and have you enter the sheet in Roll20.