For normal soaping with ingredients that are warm or cool to the touch, it doesn't matter which way you combine the lye solution with the fats -- lye into oils or oils into lye. Whichever way works best for you is fine. I usually pour lye into fat for much the same reason as Dixie, but I've done it the other way 'round on occasion.
I do want to warn about a safety hazard that can occur if you pour cool lye solution into very hot fat. By "very hot" I mean fat that is close to or hotter than the boiling point of water. The hot fat will instantly heat the lye solution and create steam that erupts out of the soap pot. This will cause a dangerous spray of hot fat and lye solution to spatter all over.
If you've ever fried chicken or doughnuts in hot fat, you know what I mean about the spattering. Add NaOH to the mix, and the situation can get real scary real quick.
The solution in this case is either (1) to have the lye solution and fat at roughly the same temperature if you must start soaping with ingredients that hot or (2) to not heat your ingredients that hot before combining them -- heat the ingredients after they are mixed together.
This is an unusual situation, but I know it happens from time to time. In particular, some soapers are trying a hot process soaping method that requires the ingredients to be very hot. It's likely they could encounter this safety hazard, so I'm trying to spread the word.
For new soapers -- Don't get confused about this discussion about how to combine lye solution and fat. This is a different thing than how to properly make
lye solution by mixing water with NaOH (or KOH).
When mixing NaOH with water to make a lye solution, it's important to always add NaOH to the water, rather than vice versa, for safety's sake.
If you pour a small amount of water into a large amount of NaOH, a lot of heat will be released. That could cause spattering of concentrated lye solution in your face. Not safe.