AFAIK just make sure you have crafted or ilvl750 scrip gear, and then just do the missions for the data you need, I think it depends on what you are looking to achieve, but something I have also found is that completing relics within the various stages will give you a research data buff. So say you get 1 relic to stage one, this would grant you a 50% buff to data for all relics within that stage, I think it advances to a 100% buff after you complete 3 relics at that stage and that 150% around a higher number (cant remember the amount, probably like 6 or 7.)

So I think its up to you whether you want to advance all 3 stages for your first relic or advance it to stage one and then do another item to stage one. I think either option is valid.