Depends on the speakers and the room design itself.
Good in-wall speakers will have back boxes already.
If you aren't using actual in-wall speakers, then build it out as a false wall and put the speakers behind an acoustically transparent wall for best results. It really depends on how the area behind the speakers is situated.
Also, subwoofers aren't really in-wall pieces. Subs that are slim enough to fit in walls tend to not sound very good.
If you have a good theater space, the best setup overall, IMO, is a false acoustically transparent wall with acoustically transparent screen. Good matching speakers across the front behind everything and subs can be back there as well.
If you must go in-wall due to space, then consider the speakers carefully and build the wall properly. If you want to quiet sound, then double drywall, and green glue. Seal ceiling lights, etc. Don't use ceiling speakers at all.