If you don't change the brake master cylinder, you should only need to bleed the system at the individual callipers.
As for the best order to bleed them, I didn't think there was one. I'd just swap out one calliper at a time, then bleed that calliper (making sure you have a firm pedal), then swap the next calliper, and bleed it, check pedal, and so on.
If you swap all the callipers at once, and then try to bleed them in one go, it can be hard to ascertain which calliper may still have air in it (if you are still getting a soft pedal after bleeding all four).