Question about baking?

okay, so I just started baking recently. question, when you preheat your oven, do you have to bake at that temperature? for example, you preheat it to 250 degrees Fahrenheit, do you also bake it at 250 degrees fahrenheit? because I can't seem to keep my oven temperature steady. the temperature keeps going up and I end up burning what I'm making. so, thanks for the help!