What is the first thing to SEO??

Ideally, the best time to start with SEO is when you are planning and then registering a keyword rich domain name, whenever possible. You really should be doing indepth keyword research before you even put the site up. Then optimize each and every page, utilizing all tags (Google doesn't look at all of them anymore but some of the lesser SEs do).

Once you're content is optimized, backlinks are definitely the next step. Focus on one keyword at a time and get your site ranked high in the SERPs, then start backlinking for the next keyword you want to rank for. Make sure that you mix the backlinks so they are back to various pages within the site.

Also use anchor text for linking whenever you can, both within your site's linking and with backlinks.