Cobalion is the first one you have to catch.
There is no order after him you could either catch terrakion or virizion but you HAVE to get cobalion first.
In pinwheel forest after you get cobalion a path that was previously blocked by 3 stones is now open and there is no maze you just go through and there is a virizion.
Pinwheel forest (eastern side), go on youtube.
First you have to get Cobalion in Mistralton cave
Then Terrakion in victory road
And then Virizion in Pinwheel forest
Look. Cobalion comes first. But you can faint him and he'll come back later. After that you can get either virizion (over the 2 bridges to the right in pinwheel forrest) or terrkion (come down from the pokémon league enter the cave to your right go down the steps to your left you'll need strength to move the boulder then go left again and he's in that cave) it doesn't matter which is 2nd or 3rd.