I would recommend to get SIN first. Having it makes simpler to open a bank account (not all banks will open one without SIN), apply for healthcare etc. It will also be required if you find a job, so I would do this first. You can go in person to Service Canada, preferably booking an appointment beforehand, and you will walk out of there with your SIN.
Applying for healthcard and opening a bank account would be my next steps. You will be eligible for health coverage after a certain amount of time from landing, so it is not super-urgent, but it is better to get it out of the way. Having a bank account is really helpful for things like renting a place, paying bills and also get a SIM card.