One thing to practice with unblockable setups is ending combos with sweep. If you finish with a sweep and go into a Maragi or SB Agi, you can block wakeup attempts while your unblockable hits, and punish wakeup rolls if they happen to clear the Maragi.
Building stocks is good, but not essential. It's a style thing, and certain matchups lend themselves a bit better to you charging up. After a standard combo that ends in B Agi, you have the opportunity to get 2 stocks 'basically' free unless they have wakeup fullscreen options, and sometimes even three. It's really up to you, because by doing so you surrender the wakeup pressure of pinning the opponent with fans or persona.
One of the best ways to build stocks is after fullscreen Persona blockstrings. Most people like to bring their Persona back to them and avoid counterattacks by doing a Maragi, but you could just as easily do one (or even two) boosts, since Fire Boost will also pull the Persona back to Yuki. You can also fire off a C Maragi and detonate it with Fire Boost. This is great against people that like to roll and airdash a lot.
I try to build stocks in the Slab matchup since she has low health, but you have to be wary of reads and j.B. It's very nice to get high stocks, because then you can turn on Fire Break anytime you have 50 meter and be a legitimate threat. Even a simple string to Agi -> Agidyne will do quite a bit of damage, which is really important in matchups where you REALLY WANT to avoid your opponent hitting Awakening (Slab really comes to mind here).