Ryan Singer (37signals) actually jumps straight from sketch to code, but then takes screenshots and brings them into Photoshop when he needs to work on more details.
Find a process that works for you.
Sometimes I start even simpler than your initial sketches and just think about the things I want on each page and how much emphasis I want to spend on them - using little bar charts (http://adrianh.posterous.com/little-bar-charts-to-show-page-...)
From the looks of it I stay on paper a bit longer than you do. I find I can iterate on paper, and do paper prototyping, faster than I can mess with Photoshop or Balsamiq.
From there I usually jump straight to code (I come from a dev background and I find I'm more productive there than I am with tools like Axure).