Where do you start your cable upgrade?

First, upgrade the power cord that came with the unit. This cord is usually a crummy $2.00 item, sometimes 16 or even 18 gauge. Then move on to the source interconnect, power amp interconect, then speaker cable.

As you start making your changes, take your time. I won an auction a few weeks ago for three sets of Z Squared solid gold interconnects. I plugged them in where I had previously had some Radshak standards. I heard no differance. huh? Then, about a week later I started noticing that everything started sounding better. Much better. That crazy, scientifically impossible 'burn-in' time really is for real. another thing: when you are ready to really see if your new cables can compare with the old, try using one set on your right channel and the other on your left. Put on your most favorite CD, the one you know like you know better than anything else. Play with the volumn controls and the balance controls. Makes for good comparison. Especially if you have someone 'trade-out' the cables and then you get to guess which witch is which....

Careful. this test can cause financial disaster for those who can't tell the differance....what, will new speakers help....pre.....amp....power cord....house redecoration...divorce......

..the final "upgrade" you mention being the most overwhelmingly expensive one, and either the most or least satisfying......

Only start with the wire upgrade if your pretty much done with component upgrade. I would start with IC on preamp to amp first along with power cords and do some listening then take power cord out and compare, then the IC and compare, you may find power cords make more of a difference and the same goes for IC, this will help you find the strengths and weakness of your preamp and amp, next I would do the same for CD/Transport and DAC again if you can try both IC and power cords this will help you best. last I would try speaker wire.
I find having good power cords helps in the what is better department when it come to IC. This is just my way of doing things and what works for me may not work for you! Happy wire hunting!

Whitlock gave you a good path. Now, I would make sure I have the best power delivery/noise control scenario I could. Make sure you get cryo'ed receptacles...