I would say depending on which method you using to drain the oil.
If you sucking(fluid evacuation device) through dipstick, then leave for last.
When lifting the filter out you will get a little leaking. I use a plastic bag to envelope the filter as to not get drops on the floor or engine bay.
Wrap a cloth around the oil filter housing to catch the drops and lift slowly to allow some of the oil to drain back into the housing.

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