My opinion about transliteration:
Using Russian letters from the very beginning makes the learning process a little bit more challenging, but later on it will give a student a big advantage.
a) First of all, we can find similar corresponding sounds in English, but they are not exactly the same. So, it is better to build up a new block in a student's brain rather than to connect to something they have in their head. (It is from neuro-linguistic programming, and it’s a long talk)
b) Second, you should separate Russian from English in the very beginning, so the student will not translate all the time and will start thinking in Russian earlier.
c) Sometimes I use transliteration, when the students do not get the sound. So I write it on the board, ask them to repeat after me. When they get the correct sound, I erase it from the board and then write in Russian. My task is to connect Russian sound to the Russian writing.