I change armour alot, but I keep on using the same weapons. Weapons its harder to adjust, one's playstyle generally conforms with only a few weapons so I suggest looming a weapon first. Armour, if you like switching armour sets, gloves first. If you have an established look you like, body first.
Gloves vs Helmet. If you change armour alot, gloves since you can keep one set of loomed gloves that will match many types of helms/body. If you intend to keep one set of armour forever, helm before gloves, but body armour before gloves/helms. Reasoning being, unloomed medium body armour is generally enough to keep a person from being 1-2 shot. Getting hit in the head leads to 1-2 shot deaths, with loomed head armour, you have a slightly larger chance of surviving the +3 xbow bolt to the face. You may be left with nearly no hp, but it beats dying. By comparison, getting hit in the body with a +3 bolt generally won't 1 shot you unless you're in peasant gear.