It mostly doesn't matter -- they'll get connected based on proximity. to anything that is in range. So if there are three windmills all in range, you could do it in any order and they'd all connect. But there might be some slight differences in exactly what the connections look like based on the order you do it, since the pathing starts from different points, etc. It's nothing to alter how you play for though, that's just a teeny curiosity more than anything.