I haven't tried learning ZBLL but I'd think it would be easier to learn all the COLLs first. Once you have done that and gotten used to it you have the hardest part of recognition (the corners) down and you will also be able to at least do COLL EPLL for cases you don't know the alg for, which is still pretty fast. Then you can go through the corner cases in whatever order you want and learn all the various algs for each case (depending on where the edges go). I do recommend doing groups of OLLs at a time like you mentioned, but the order you do these groups in doesn't matter. I guess you could learn the cases with the worst OLLs first if you wanted.