I did the headset first on my Pompino - as you say, to "join the two bits together". BB is significant and needs doing early. Wheels are something of an independent job; you can build them at any time up to when you're ready to put them in.
Especially if you have a workstand, the order of adding bars/stem, seat/post and chainset/transmission is not that important. Overall it's not that significant, but you need bars to fit brake levers and connect brakes, and you need wheels in to finish the transmission. If fitting mudguards, do this before or with the wheels (you'll need the wheels in to adjust the guards).
Wheel building is probably the most complex thing for a novice. Presumably the community workshop comes with free expert advice from people there?