People have done it both ways, and many more other ways.

For example, some remove the sod, others just lay cardboard over it. Some have a low height bed and use the in-ground growth also, whereas others grow entirely in new soil above the original soil line.

I think it's physically easier to garden to have an actual raised bed than just an in ground one. I throw down paper grocery bags to discourage weeds (initially anyways) and encourage worms. It will eventually break down. Then fill the bed with a 3:1 ratio of top soil to compost and done. May be more work in the beginning but easier to deal with than hard clay.