Which do I do first? Entering the event, getting a membership, or getting a rally license?
It doesn't matter. You can do them in any order.
The best method would be to enter the rally immediately. Then, begin the paperwork and forms for getting your membership and license. Often times the organizer will contact you about getting your forms in, or changes / updates to the official information. They won't be able to do this if you're not signed up for the event.