I, too, learned how to WD before L-cancelling and SH. However, after watching some videos of the top players, I was prompted to learn the latter two quickly.
The most common reaction I get when I show my friends those videos are "How the **** do they move so fast?!" That's where I come in and explain how they use L-cancelling, SHing, WDing and Wavelanding to move with such efficiency and grace. I explain that by simply mastering L-cancelling by itself, they will have an enormous advantage over their non-L-cancelling buddies in the future.
And thus, my friends usually learn how to L-cancel first. Since SH and L-cancel sort of come hand-in-hand, they usually learn SH somewhere on the way too. And WD just comes to each individual at different times. (It only took me about 2 days to master WD, but 1 month to actually learn how to use it in play, and alternatively, a buddy of mine 5 weeks to master WD and half a week to learn how to use it practically in-game.)
Of course, more importantly than being able to do any of those three is knowing the character you're playing. New players usually will start off by spamming B button attacks. Obviously, if they are doing this, the first thing to teach them is that using A attacks, grabbing, shielding and dodging are all important too.
After they learn to use the A button, that's usually when they start using normal attacks-- but the wrong ones. For example, they may use Samus' Fair on an opponent in front of them when they should be using the Nair. They will simply press the direction of where the opponent is and press A, which isn't the best habit either. Learning how to use their attacks and knowing when to use them is something that most people seem to get stuck on, and thus never get better.
Just as well, I'm sure you all know as well as I do that defending/dodging properly is a huge part of the game. Most new players love to spam their roll and then counterattack. Fix this by WDing or Dashdancing and punishing them every time they roll. Either they'll ask how you always manage to get them, or they'll start understanding on their own. Either way, that's when you can teach them how to dodge attacks properly. I don't recommend teaching the standing dodge too early because I notice that many people get stuck in a habit where they rely on it so much that it's ridiculously easy to read when they will do it.
If they're interested enough in becoming skilled at the game, they will learn how to do things eventually, even if they're not that adept at it in the first place. So pointing them to this board and giving them good videos to watch will probably amp them up quite a bit.
Ultimately, it's just like Big Burn said: Experience is the key. There are so many variables that go on in the game at once. For example, doing combos will involve your character's position in accordance to your opponent's, spacing of the attack you need to use, the location of where you actually hit your opponent with that attack (i.e. Tipper or no tipper or an attack like Y.Link's dair), your opponent's %, his DI, etc.! It's better to experience these elements rather than to explain them, so just get your buddy's hands on a controller and smash away!