Hi,
If it's your first play through I recommend that you go back and play your story, then go through the expansions, living world etc in order.
Stories, characters etc will be much more enjoyable and make a lot more sense to you as you progress.
A bunch of stuff happens in the Heart of Thorns and Path of Fire that will make absolutely no sense to you if you've not experienced the earlier stories. The same goes for Living World episodes.
:)