The order shouldn't matter, unless you're on a hinged mast step, in which case it likely comes from the stern and up. In that case, you'll want the backstay attached just because, but loose. Not every mast can be raised and lowered with the shrouds attached, but if yours is one that can, you can do those too, loosely, to help with the side-to-side action a bit.
If yours is one that's crane'd into place, it won't matter what order you go in, they'll all line up as you tighten once it's in place.