Sam,
First you should identify the use cases and create the use case model for the project.
Then, when you dive into each use case, you do the other diagrams (state, activity…) in any order. Actually what diagrams you’ll use depends on the use case.
For example: The state diagram could be applied to the status changes of hotel rooms for example but not for a use case about report generation.
The idea is to create these diagrams that best describe the use cases you are writing. You are not supposed to use all of them all the time, and you may create several diagrams of each type pre use case if it is too complicated.
-Vessela