[AndrewG]

I once changed the stock synthetic saddle on a Martin J40 to bone and was disappointed by the result. There was a metallic 'clank' in the unwound strings. It may have been a bad piece of bone-being organic the density and thus the vibration transferrence will vary-but I replaced the original saddle and got the tone back.
Having said that my Bourgeois has a bone saddle and it sounds great.
I'm not convinced a bone nut will do much-once you fret a note or use a capo it's out of the equation.
Pins? They look good!
Either way it's a fun and relatively cheap way to experiment with your tone. To answer your original question I would put strings first, choice of pick next, if you use one (thickness, material and shape), then saddle material, as tone modifiers.