I think you will be ok with the chip first since you are getting some gauges soon. If you wasn't going to get the gauges, I would probably do the exhaust first. That's just my opinion. I'm sure someone else will chime in shortly with some more feedback. Hope this helps and welcome to the Garage! This is a good place to get alot of help with anything. There are alot of very knowledgable people here.
2002 F-250 Crew Cab 4x4, DP-Tuner 60 tow, 80 eco, 120 race, and 140 smoke, Banks wastegate, Banks Transcommand(bypassed), 4" SS exhaust, AFE stage 2 intake, Superlift 6" lift, 37" Nitto Terra Grapplers, 18" Motto wheels, EGT and Boost gauges.