Having jumped into all-grain a bit quickly myself, there are some things I now regret not doing first, or at least not doing as wholly as I would now have wanted to.
My recommendation is to get the wort chiller out of the way first; it is pretty much a basic sanitation tool, and can be applied to whole-wort extract boils just as well as to all-grain. There's not much point in doing the rest if you can't get the wort cooled quickly enough to avoid significant risk of contamination.
The next step I would recommend is to improve your yeast pitching and culturing, which means a stir plate, at least two stir bars, and a set of at least three flasks in increasing sizes (e.g., 500mL, 1000mL, 2000mL). Fortunately, the stir plate is the only expensive part there, and even then you should be able to get a used one fairly cheap, or even make one yourself.
build one yourself
If you can improve your yeast pitch rate, and learn to handle your yeast correctly, you'll get at least as much of an improvement in your beer as you would going from extract to AG.
Next should be temperature control of the fermenting wort. This too will give you a significant improvement even with extract beers, and if done right will let you ferment lagers year-round. Even something as simple as a
swamp cooler will improve your temperature control, though the best solution is a dedicated refrigerator (or a
chest freezer with a modified thermostat) if you have room and money for one.
Finally, I would get an oxy wand or some other means of aerating the wort before pitching it. Proper aeration is as important as proper pitch rate for getting your fermentation started cleanly.
Only after getting these out of the way, and you have tested each of these at least once with an extract beer, would I move on to all-grain. Perfect as much of your technique and equipment as you can with extract brewing first, then worry about mashes and sparging later.
