With the exception of the ground school, which I did full time on unpaid leave, I did my entire Frozen ATPL during full time employment.
Best decision I ever made, especially with 9/11 at the beginning of it all...I worked shifts in airline ops and used my leave...
The downside of course is that it took me 2 years 7 months to complete everything but as I know of so many of the guys I trained with still looking for work, that didn't really matter.
I did complete my IR full time using all my leave at once which I would highly recommend rather than doing bits here and there, this will save you money....
Cheers
JB