The only time it actually matters is when you have a guitar with a movable bridge, like an archtop guitar or a guitar-banjo. On those you're best off going from the inside out: from D to G, A to B, low E to high E. The reason you proceed that way is to prevent the bridge from moving too much.
Otherwise it doesn't matter. I prefer to go from low E to high E, but that's just personal preference.
whm
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