Why make a conscious effort, though? Why not just play in the moment from adventure to adventure, and see if it hapens to string together into a coherent story in hindsight?
Because, for some, that doesn't generally lead to as pleasing an outcome. So, those people shouldn't do it that way.
That's the answer for most questions of "Why do you do it your way? Why don't you do it MY way?!?" in gaming.