I go one by one in order... Take one out, replace it with the new, and tune the new one - then move to the next. at the end re-tune the guitar. Please note that if you remove all the strings at once, you may need to tune the neck (via the truss rode), but no real damage should occur - I personally never remove all the strings (lesson a learned from an old guitar I had where the truss was actually at the base of the neck, and it was a MAJOR pain)