I think it is best to do it in this order.

1. Apply the brakes.
2. Shift to neutral.
3. Pull over to the side of the road where it is safe and stop.
4. Turn off engine.

This way you have power steering and brakes until you stop. The engine in a modern car will not blow when you shift to neutral because they all have rev limiters. It will however make a lot of noise until you shut the engine off.

Chuck