Has anyone been through the process of getting Schengen visa? I was wondering if it's better to apply from here to the country we are planning to visit in Europe or just apply when we will be there?

Where's "here"? I don't think you can even board the plane prior to your departure to countries requiring Schengen visa. Just apply for it in advance. 

 I mean my wife has a Visa to UK...we are planning to visit other countries while we are there, so which one is better to apply for schengen visa right now or wait until we get to UK and apply?

 Why'd you wait, though? Just send it in and more often than not, the embassy will ask you to come pick it up at a later date (typically after 4-5 days). Sending it (application) in and picking it up while in the UK will create more hassle, IMO. 

The embassy for Schengen countries will only consider application from UK residents so you have to apply from wherever u are

 Thanks man....I got one more question, are you suppose to have a travel insurance when you apply for schengen visa? cuz the application says that you have to submit a copy of proof of travel insurance.

.

Yes , travel insurance is mandatory

http://www.hccmis.com 

First of all, since UK is not part of the Schengen Area, it would make sense for you to get the UK visa first. Assuming you have a Nepalese passport (GC doesn't matter), it's advisable to apply for the Schengen visa in advance as they are pretty thorough in checking every detail(yes, even for casual tourists).

As far as applying for Schengen Visa goes, if you're not located in Washington DC area, you have to appear in one of the local consulate offices and provide all the necessary documents. You can either pickup your passport or have it posted (not advisable!) in a week or 2. Hope that helps.

Jai Nepal.

Please visit our website for more information,we are business consultants and we provide services for Schengen visa!
http://medingroup.gr/