It doesn't matter - not like bleeding car brakes, where you usually start furthest from the master cylinder and work back.
I did this today too. I also drained the sludge filter because BG don't normally bother. These filters are cunningly designed to spray black crap all over your kitchen but after last year's cleanup, of Exxon Valdez proportions, I am wise to them. Basically you open the drain valve (a small brass ball valve) and it just drips slowly and unimpressively. After about two minutes, the plug of sludge in the ball valve hole will let go and the entire Pacific Ocean, mixed with colliery waste, will suddenly try to come out. Make sure you have your hand on the valve ready to shut it off when this happens...