I agree with what everyone has said so far.
Your question:should I smudge myself first or the room I am in?
When starting your smudge fire is the perfect time to start your prayers
and smudge your self and to set your intentions.
(Also as Native spirit said having a
escape route for the negative, like a window ajar or a door)
Structure it any way you are comfortable with.Pray to who you are comfortable with.
I thank the the powers of Creations and my Creator and talk with the smudge and ask it
to go into all the dark corners and crevasses to chase out any negative energies
that might create harm or disruption.
I use an Eagle feather to direct the smudge smoke. (Turkey feathers are also good cleaners)
You can also use your hand to direct the smoke or just let the smoke free flow.
I also enter every room and direct the smoke to travel to the dark corners and crevasses.
Your question:what should I use first sage or palo santo?
I use cedar because it is dual purpose(cleans bad and attracts good) and I gather my own.
Sage is a cleaner of the negative(So clean 1st).Sweat grass attracts the good energies(I will light sweet grass when blessing, after the cleaning with sage).
Palo santo I have no knowledge of.
I like Sojourner2013 way of sealing with Divine Love.
But you may want to seal or end with your own blessing and protection.
The main thing is feel it each time and when you are drawn to do something
different or are drawn to a certain area then stay flexible and sense what is going on.
You will know on the inside what needs done.
I always finish up at the window or door that was left open.
Mainly work with what you have, the most important is your Heart and your prayers.
p.s. I don't make it a habit of talking to any negative energy.
Their job is to just go which was established in my intentions.
I only talk with the Good and positive side.
Happy smudging.