Most certainly the router first.

You only have to do the wireless things, so the DSL Modem and the Ooma box (don't think they make a wireless one, could be wrong) won't have to be touched.

The reason you want to do the router first is you want to make sure each device can connect to it as you are setting them up. If you don't, you may have to go back and do it again if you typed something wrong or whatever.