Heh, depends what you're looking to do, though a master plan of some description helps (even if only to blame your underlings when it inevitably goes wrong
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I suspect everyone would have a different sequence they run through depending on playstyle. Generally, I respond to anything urgent arising from last turn first (i.e. any messages which need action, newly recruited troops or forged items, that kind of thing). Then I issue the orders for the current turn.
I try to plan a good three or four turns ahead, so most of the time I've got a plan for each army or commander (i.e. I want this guy to attack that province once he has an army, that guy is going to site search those provinces etc) and it's a simple case of working through each commander and taking the next step towards their eventual goal and my inevitable defeat.
It helps to have a rough idea of what you want for the 'next stage' of your empire. For instance, my initial 'stage 1' empire involves capturing all of the surrounding territories of my starting castle, and establishing a small core of research mages. I'll therefore take steps to do this - recruiting a decent army or mercenaries and a bunch of mages. Once that's complete, stage 2 would be moving out three territories or so from my castle to build another castle, and sending out site searching spells or mages into my fresh territories, so I work towards that and so forth. It generally means you can remember why your recruiting a certain commander, and what they should be doing at any one time.
Don't be afraid to experiment though. Forgetting to do something is no big deal, happens to pretty much everyone, especially once you have a large empire with a few hundred commanders.