In the research phase, gathering and sorting through information is key. I try to absorb as much about the subject matter as possible to help inform my designs.
The sketching phase is where I start to get my ideas that formed in the research phase out. This is the part where I try a lot of different directions, and see which may work the best.
When I move on to designing, I start with simple grey designs based on my sketches. These will get tested in the next phase, and then I can use what I learn from testing to flesh the designs out and develop them into high fidelity designs.
The testing phases is one that hopefully happens multiple times throughout the UX process. By testing users, I try to figure out what exactly is working, and what is not. After getting that information, I can go back and change pain points, and highlight the good parts.
One of the most important part of my process is iteration. This is where meaningful changes can be made from what I have learned.