Interconnect priority

It will depend on particular components and particular cables. While in analog based system tonearm cable is the most important of all cables, in digital based system there is no clear answer to the question.

Start with source.

I think it depends on the gear. I found my preamp and amp on 2 systems are less dependent on the XLR. In both systems I use 15-foot and 25-foot Benchmark XLR. For my sources. I use Audience AU24 SE XLR and RCA. I can hear a difference there.

My experience is consistent with the source first approach. It is annoying to hear these differences, especially with loaned cables, because once I hear it, I want it all the time. It is just $$$.

DAC to preamp, then preamp to amp