Phono stage or pre Amp? which is most important.

The phono stage is the most important piece of line level electronics as it has to deal with a very low input voltage. Signal to noise ratio becomes more critical as accuracy of the RIAA reversal. In the context of the system you have the Project should be fine. If you decide you really like vinyl then I would upgrade the cartridge and phono stage at the same time. I am unfamiliar with the Naim. I like tube phono stages like Audio Research.  

I used that same Linn table/arm combo for years and never considered it "cheap". Don’t be the guy that "knows the cost of everything and the value of nothing". Regarding your question, a budget phono-pre can sound excellent so I'd go big on the main preamp for now and get a better phono-pre later.

As an ex-Naim person, the biggest improvement you can make to a Naim system is to upgrade the power supplies if possible.  I had a 202, but I don't recall if you can use a hi-cap with it.  If you can, pick one up and your whole system would be elevated.  IMO, the phono preamp is fine with your cartridge.  

You can power a Stageline from the 202 and the 202 with the 200 or a hicap or you can power a stageline directly with a hicap. I suspect a stageline N would suit an AT95 rather well being a bit on the dark side.

They're all important but Mike is right, the phono stage is sort of a first among equals. Relative to what you have the table, arm and cart are good enough that you would probably be shocked to hear how much better they are through a good phono stage.  

As far as preamps go, any time and every time value and budget comes up the answer is a good tube integrated amp. You will get far more sound quality for your money than with separates. That is the most budget friendly step up. 

Finally, most important of all is what you want from your system. I know what I want, and so I know tubes and turntables are the way to go. I know to strongly consider Benz and Koetsu while never wasting a moments thought on AT, Lyra, etc I just don't want hyper I want music. But if you want your table to sound like digital then solid state and Naim with AT will get you a lot closer than tubes and Benz. Whatever it is, know that about yourself and be realistic is the winning combination.