I choose to vacuume first as I can see everything sitting on the bottom. If I brush first then it all gets scattered, some gets filtered out through the skimmer, but for the most part I have discovered that if it was on the bottom, the it will just end up back on the bottom.
I used to brush first and a couple hours later when my filter was off, I would have to vaccume again. I only have to vaccume every 3 days or so doing the vacuming first. When I brushed first, I would have to vacuume 2-3 times a day.
As Tim said, there is not right or wrong way when it comes to vacuuming and brushing. It is just what works for you.