If socialization is a form of 'training', I always pick that first! A well-rounded shepherd is a good citizen, a great foundation, and a happy pet.
IMO, the first thing to do is load your Training Gun; clicker or marker association! The first command I teach my pups is "touch" (touching their nose to my palm when presented with a flat hand and/or a verbal command); it functions as a focus tool and an unofficial recall, plus it's fun and easy.
In the end, it doesn't so much matter WHAT you train... the important part is that the dog learns how to learn. The process of how to process instruction and translate it into a retrievable command is learned and improved over time. It takes more time to learn the first command than the second, and by the twentieth it's a piece of cake.
Good on ya for going to a socialization class! Great start.