How do scientists know where to look for a genetic marker?

Scientists depend on there being genetic markers (regions of DNA that differ between healthy people and people with disease A, such as a SNP or RFLP) so that they can pinpoint the mutation that leads to the disease. But sequencing a person's entire genome is very costly and this seems like an inefficient way to locate a specific region, among the many random/non-causal polymorphic regions that will exist upon sequencing the genomes of healthy and disease A people. So I guess I'm asking, is there some way scientists know where to focus the sequencing, or do they really sequence the person's entire genome until they find one common polymorphism that distinguishes everyone with the disease from healthy people. I hope my question makes some sense but I feel like it doesn't :/