what to buy first

Since you have Small B&W's and assuming that you have a source,  i.e DAC/Computer or Cd player or Turntable,  I would start with and Integrated or Amp/Preamp.... Just with that change, you'll be quite surprised how much better those speakers sound. 
Good Luck, Tim

@mhsmith,

What HT Receiver do you have? What B&W Speakers? What is you source? CD? Analog TT? Providing some additional information may help folks offer a more informed opinion.

Regarding "what to do": consider the end game. What do you want to have at the end? Will it be a 2-channel system? What will all of the source components be? Will you have an analog source, such as a turntable, as well as one or more digital sources? 

+1 reubent.
OP, Do you want an 'Audiophile' system? or just something to play music decently?
If the former, then I suggest trying to visit some Brick and Mortar Dealers and listening to as many speakers as you can-Then you will get an idea of what you like.
B

+1 reubent and gdnrbob.

Definitely demo as much you can, you'll save money in the long run if you know what you prefer.  Don't trust anyone's ears but your own (or maybe your wife's), but be prepared to hear more (both good and bad) as time goes on.  Once you have an ideal, it will be easier to plan it out in steps.

Speakers will be the most noticeable change, but if your receiver is underpowered they may disappoint you at home until you upgrade your amp.

Depending on your components and where you live, a power conditioner might give you an immediate improvement, or be a waste of money.

Don't overlook aspects that are not 100% about sound quality.  If you love playing vinyl, a nice turntable may give you the most enjoyment even with lesser components downstream.  Conversely if you find managing your library annoying, Tidal and a streamer might put the biggest smile on your face.