In my opinion, it doesn't matter but your procedure should be consistent. I like to minimize handling individual cartridge cases and I don't like to repeat reloading steps such as cleaning twice.
I shoot single shot only and I collect the brass on a clean towel, so that it remains clean. Therefore, I do this on EVERY cycle:
Bulk lube, deprime, neck size slightly smaller than final desired diameter, body size, trim if necessary, chamfer, clean using wet SS media, dry, anneal, store. When I'm ready to load I prime, run a 21st Century "turning" mandrel down the neck to get final neck ID and insure roundness, weigh powder, charge the brass, seat bullets. By the way, I use Moly coated bullets primarily because they provide lubrication during seating rather than anything (good or bad) that Moly might do for my barrel.
In other words, I size before I anneal. Therefore, my brass is slightly harder when I size than someone who anneals before resizing because my brass has been work hardened to some degree from the firing sequence. However, my brass is slightly softer when I seat my bullets then if I annealed, sized, and seated in that order because and work hardening caused by sizing is negated by annealing after sizing. Therefore my brass would be expected to have a different amount of true bullet grip than if I annealed before sizing. That assumes we measure what we call neck tension by conventional means; i.e. measuring the neck diameter before and after seating the bullet.
The difference in hardness in the two methods is small, but real. One might expect slight differences in final case measurements and/or what we call "neck tension". I believe as long as the loader adjusts his sizing bushing, mandrel size (if used), and desired neck tension (interference fit) he/she can produce high quality ammo using either sequence as long as it's done same way each time.
What I like about my method is that it minimizes individual cartridge handling. The case lube is removed when I clean and I don't have to wipe down the individual cases later or clean them again. Neither do I have to individually lube case necks. Of course I have to individually handle the cases when I charge them and seat bullets, but other than that it's a bulk process done on a progressive press using several passes.