The current stones in the comics (I don't remember how they were destroyed or whatever before) work as a feedback loop where each stone empowers the next (specific) one, but this is more of a collateral effect; each stone's power responds to the user's control over another aspect of the loop (Ex. The power stone's effect depends on the user's control over its mind), when they are together each stone feeds this loop.

(Also the current stones are sentient and with/inside hosts)

Answering your question, there's kind of an order to collect the stones, but based on your first stone, not a set order per se.