Many different ways to skin this cat I think, but I think the general consensus is leaning toward doing all the ATPL theory first. As topendtorque showed it is considerably cheaper to do the IR (H) in Oz, and then do a conversion in the UK, so that is definitely an option. There are also good options to do the same in NZ if you are forced to pay for it yourself. A friend of mine has recently done the fixed wing ATPL(A) (also military rotary), and did most of his fixed wing in the US. There is considerable saving to be had. You can do the majority of the hours there, then come backt to the UK, do the minimum for the conversion (if memory serves - around 5hrs), and then an IR. Slightly complicated though, I reckon, if you want to stay rotary.
Many, many options, and it would be interesting to hear what others have done to skin this particular cat, or what other ways people have heard.
As far as the CPL(H) thoery course - I think it is probably the best idea if you intend to stay within single engine, VFR work. I have heard some good things about Dragon, and their instructors, although I do not know anyone who has done their thoery course. So I think it is worth having a very real idea of where the jobs lie. I would be very interested to hear any opinions on this.