Traditions vary, but in every one I know of, one should generally don their Eshu/Elegua eleke first if they are wearing them for ritual purposes. Even this is not a hard rule though. In some traditions, people wear a simpler string of white beads or pearls to represent all Orishas.
It is best to follow whatever the traditions of your ile or community are. If you are a solitary practitioner, simply do divination to find out what you specifically should do. Many people I know in the diaspora wear them in an order like this:
The ethereals (Obatala, Orunmila, Damballah, etc.)
Your Head Orisha
The Ancestors (Egungun, Oduduwa, Your heritage beads, specific Ancestors and ascended admired persons/avatars of deities, etc.)
Cosmic and Planetary (Yemaya, Ogun, Zodji, etc.)
Elemental (Shango, Oshun, Oya, etc.)
Emotional and functional (Oba, Ochossi, Dada, etc.)
Some wear them in an order like:
The other Warriors (Shango, Ochossi)
Your Head Orisha
Which order is right for you will come out in divination. Be mindful though that different occasions call for different things. You will probably not be wearing all of your elekes at once on every occasion.
Another possible concern is what sort of energy you want around you at the moment. If your head Orisha is an ethereal, it may be beneficial for you to always wear it with Eshu so that you understand signs and messages you receive. If your head or an Orisha you’re feeling particularly close to that day is more physical-world active such as Ogun or Oya however, they may be worn alone without danger so long as your Ori is very compatible.
Again, divination will serve you well in this if your ile doesn’t have standard traditions in this.