In a perfect world, we could all pay cash for our cars and never have to worry about debt or monthly payments. We would likely negotiate the sale price more aggressively because the salesperson would know that we had the money and could take our business elsewhere at a moment's notice. In the real world, however, only a few of us are able to save up enough cash to pay for a car in full. The rest of us have to finance.
The problem with starting your car financing at the dealership is that you don't know whether the loan you're being offered is the best financing you can get. It can also complicate the negotiations and limit where you can shop to get the best price. A better way is to get preapproved for your car loan. Getting preapproved is the closest you can come to the perks of paying with cash while not having to save up for months or years in advance.