If you're playing Fox and plan on sticking with Fox (which would be a good idea), I suggest the following 3 things to learn
1. Dash dancing- If you don't know what dash dancing is then look it up, but if you do, go to FD and start on the left side of the stage, and DD from the left side to the right without messing up. If you mess up, re-do it, until you get it perfectly. Then do the same for the right side. Also practice different lengths of dash dances to help you get used to/know different lengths and also to be able to use them all effectively. If you need help with dash dance lengths you can go to Pokemon Stadium and use the lines on the stage as markers. Say you want to start at line A and end at line B and dash dance between them without going any further.
2. Learn to L cancel, but do it slowly. Apply steps to your process. If you can SH consistently, then try doing a nair with it, but don't L cancel. Build up your dexterity in consistently doing SH nair, then once you get it down, try adding in a fast fall. After you get that, add in the L cancel. Things like this are usually done easier in steps rather than applying it as one swift motion. After you get down a basic standing in place nair, try doing it while moving. If you can't then you can also apply the same steps to doing it while moving as you did with in place.
3. Dash cancel grabs and actions after nair. I'm going to assume you also know what dash cancel grabs are, and they can often times be hard on the hands as well. If needed also do this in steps. Practice quickly going up from your dash first, then applying Z after you feel you have enough dexterity to do that quickly.
As for actions after nair, I'm talking about dash dancing away from your opponent after nair or bair, and so on. As I mentioned up there, it's important to be able to use DDs/Fox's general speed to get out of most situations.
The learning order of everything else for Fox after this is, for the most part, arbitrary. Wave dashing isn't a completely integral part of Fox's game, or even Falcon's since you said you might switch to him, but it is excellent to learn for overall advanced play of course.
EDIT: I see you're practicing Falcon. If you are, I would still take all of these steps if I were you. The only thing I'd really change is when learning L cancelling and such, use moves such as fair (knee) and bair for Falcon instead of nair. Learning Falcon is like learning a space animal if they had no shine and had ****tier moves.