I don't think it matters too much which order you do the DLC. I just started AoM - my guide went to Forgotten Gods first, but it was at an earlier level, and said it wasn't that important.
The thing that Jojo taught me in Path of Exile - and it perfectly applies to Grim Dawn as well - is that everything is connected. The constellations should work in concert with your gear and your skills, but each of those three areas should also compensate for holes in the others. For example, if you have amazing gear, but your resistances are low, you can get some help for that in the devotions. If you are doing a lot of damage, but your health is low, you can look at the skills and get a defensive skill as your emergency when you get in trouble.
That's why it's best to follow a guide closely - these people (if they are any good) know the ins and outs of the game well and have tested it to optimize everything. Like my build is a dual-wield pierce blademaster. One of the keys is pierce damage, obviously, but another is attack speed - it has a huge impact on my damage. When I pick up loot (and I pick up everything) if the first thing I see is "Cold Damage" or "Elemental Damage," I know pretty much right away that it's not going to be a good fit for my build.
tl;dr get a good guide and follow it to the letter. Then later when you know the game better you can play around. I mean, you can test things out now too, but the basics have to be in place if it is going to work.
