No right or wrong exactly. I like to overlock everything first, if possible. There are exceptions, of course. Overlocking stabilises things and I find my garment goes together more smoothly. It is also less fiddly that trying to overlock after the seams have been sewn.
I batch the overlocking, so I will run one piece after another through, doing one edge on each, when I run out, I cut them apart and start on the next side, and so on. I take the absolute minimum off each edge.
If you plan to gather something though, like a sleeve head, you may wish to do that bit first, as the overlocked edge does have more bulk than the raw edged fabric. And once the sleeve is in correctly ( yes, I normally cheat and put the sleeve in 'on the flat') you can overlock the raw edge to the armhole edge, and neaten both in one.
If you plan to overlock instead of flatbedding, rather than as well, plan everything as flat as possible, before you start making stuff go 3D.