Question

It always goes first (besides Pursuit, in this case) so how high is its priority?

Answer 1

Switcing out has a +6 priority so the only thing that will go before is pursuit with a +7 if they are switching (credit to marzipan), and possibly rotating (rotation battles), items, escaping, and charging focus punch which all have +6(tied with switching out).
Source: http://bulbapedia.bulbagarden.net/wiki/Priority

Comments

And Pursuit has a +7 Priority (just an extra info), which has the highest priority of any move in Gen V.