Which is the better first step: rebuilding a basement closet, or insulating the basement walls?
Insulate 5th. 

First is framing, second is HVAC (most difficult to adjust around other features/elements), third is plumbing, fourth is electrical and data, fifth is insulation, then wallboard and paint. 

If cabinets are involved, I’d install them next. 

I always install the floor coverings last...well, “touch up painting” is very last.