James,
Don't worry about any particular order. Just take the Trevor Thom series, start reading at page 1 of book 1, make notes, do the revision questions after each chapter and so on. Trevor Thom will have put all subjects in a logical order for you, so don't deviate from them unless you've got a very good reason.
You need to expect at least a solid month of studying, maybe three nights a week, three hours each night or so. It's a lot of material to go through.
When you arrive at EFT you should be finished with all the theory and should have used the confuser, air quiz or something else to score a consistent 90%+ on all subjects. This then means that you can do *all* exams in the first week, and have them all out of the way before first solo. After your first solo you will have to concentrate on x-country flights, which means that the time spent preparing your flights will become longer and longer. So you will have less and less time to spend studying theory and making exams.
There's possibly one exception to this. Once you've done your first x-country with an instructor, a lot of things that you may have studied for nav will suddenly click into place. That might make it easier to do that particular exam, so that's the only one that I would postpone till week two or three, if necessary.
When I was at OFT they did not worry specifically about "air law before first solo". They were encouraging you to do an exam every other day anyway. And of course you have to do the FAA pre-solo exam before you go first solo. This is an easy exam consisting of about 18 questions, particularly on some operating procedures, airframe characteristics and local airspace layout. You've got to have a 100% score on this, but if you fail a question, the instructor may explain it to you and sign you off anyway.
If you are doing a full time course if you can arrive with the exams already done and the examiners sheet already signed off you will find the whole thing less stressfull.
So I would recommend you do all of them before you start but make sure they will be in date when you get out there. And get a RT course and license done as well.
Good advice in general, but since you live in Denmark, this means that you have to travel to the UK to sit all these exams. The Danish variants will most likely not be accepted by the UK CAA. You've got to question yourself whether the expense and hassle of going to the UK for these exams beforehand is worth it, particularly since the first go at the exams is most likely included in the EFT package price, and you can sit the exams over there inbetween your flight lessons.
Personally I had no problem finding time (and brain capacity/energy) to do all exams when I was at OFT, in the first week, inbetween the flight lessons.