Unless the party are in town or other downtime and about to head out to the field, I can't see any reason for stopping the session while a player rolls up a character. If nothing else, continuing the session makes it more likely things will get to a logical place to bring the new one in; which can't happen if it isn't rolled up yet.
Sent away? What's stopping the player from rolling the new PC up while still at the table? Further, char-gen often needs some DM input anyway via answering of questions, which can be done during breaks in the continuing play provided the rolling-up player is still at the table.
That, and due to some bad past experiences we have a table rule that says that at least the key rolls (stats, hit points, other major character elements) have to be done in the presence of others.