What can myelination tell you about the evolution of sensory receptors?
Interesting question. I will dissect your question into its assumptions before giving my view on the overall question.

1) ..that nerves became larger.. : Why should there be a general tendency for nerves to increase in size during the course of evolution when there is no need to?  

2) ...that nerves became more myelinated...: A general tendency towards more myelination is not the case. Myelination is definitely a trait that has been acquired later in evolution, but "the more the better" does not apply. Imagine an electrical conductor - to insulate it a bit of plastic is enough. Adding more after that doesn't make a substantial difference. 

3) ...the order in which these receptors evolved...: myleine sheaths are made up of glial cells that wrap themselves around axons of neurons. Myeline makes neural transduction more efficient and faster. Hence, the amount of myelination tells you something about the efficiency and speed of transduction of the nerve (Hartline (2007)). For example, longer axons tend to be myelinated, short ones not. That, in turn, will have certain evolutionary benefits for the host, as more efficient communications means less energy required, lesser loss of information, and increased processing speeds. The amount of myelin hence tells you something about the importance of efficient communication of that sensory system. However, it does not tell you anything about when this receptor evolved.

Hence, the relation between myelination and receptor evolution is remote at best. In terms of evolution, amounts of myelination may tell you something about the evolutionary pressure placed on faster and more efficient workings of the receptor systems.