I did electric tape on the steering wheel bowtie first.
But that's a silly answer to a silly question, because you don't want to know what we did first, you want to know, with the benefit of our hindsight, what you should do first.
Cheap or free cosmetic upgrades aside, The first thing you should get would be a tune. I know, boring, everyone saying the same thing, but it's because it's the single best thing you can do, and the simplest. The 1.4T engine is deliberately hobbled by Chevy so it produces consistent power output, instead of giving you all it can. And when you do anything else to increase power, it STILL keeps it giving that consistent low power. So other mods are pointless unless all you wanted was the sound.
And honestly the other mods are largely pointless even after a tune. A new intake and exhaust really add a small percentage of extra power, the only thing I've seen that really gives a kick in the pants similar to adding the tune in the first place is converting to E85... and that certainly wouldn't be the first thing to do.
Now if you want performance in terms of handling, the thing to do is get new tires. The stock tires the Sonic comes with are pretty bad, and you can do a lot better without spending a lot of money.