I think it is a matter of taste. Generally it is best to upgrade from the source forward since going the other way will highlight problems with the source (great sounding amp shows how bad the player is). This is not always as true with cables as they tend to error by de-emphasizing freqencies (generally). I personally would upgrade from the source first, but if possible, just get one cable and try it in both places and see which you prefer.
upgrading interconnects
i am going to upgrade my interconnects one at a time. which one first? between cd and preamp or preamp and amp. they will be the same cable when complete. thinking about the kimber hero. have a citation 24 amp,citation 21 preamp and a hk hd-710 cd player, paradigm studio 60 speakers bi-wired with kimber 4vs speaker wire.