First thing I always work on first with my dogs is Come. Nothing else matters if I can't get my dog to come to me.
Not Come, then sit. Just Come. Here's your treat. Ok, go play. The come again. Let's play tug. Ok. go play. Come again. Chase me!!!!
Come! Hurry! Come! Chase me again! (Do this a bunch of times -- you don't have to run fast, just run around stuff. Change directions a lot.). Here's a treat. Let's walk into the house together.
Now dog is somewhat tired and sits down. Capture that! Good sit! (Fork over the treat).
Ready to feed dog dinner? STand calmly with his dinner bowl about chest or waist high, depending how tall you are. Wait for the offered sit. Mark that (good sit!) and reward with his bowl.
When your dog jumps on you, simply step forward into his space. Don't say anything, just step forward. That will most likely cause him to squirm & try to jump up again. Keep stepping into his space. Eventually, he'll get backed into a sit. Mark that. Good sit! + treat (if you have one ready)
Here's what you're doing -- you're using your body and ACTIVELY training your dog. With young wiggly dogs, we can sit in front of them and do "training." Or we can work on training as we go throughout the day. The more times that I can use my body (as opposed to my language) to speak to him, the more effective I'll be.
So when you ask, what should I do first, my answer is, teach him that being next to you is the best place to be. So start with recall. But don't just call him when it's Game Over. Call him, reinforce and let him resume his play at least half the time. And don't call him to you when something bad is about to happen (going in his crate, getting a bath, etc). Go get him if you need to do those things. Once you have a good recall, he'll pay attention to you more carefully. You're the one that makes great things happen.
Then, train what you need as you go through your day. When he sits, mark it and reward it. When he lies down in an appropriate place, mark and reward it. When he wants to go out, open the door, but stand so your leg is in front of him, blocking him. If he starts to bolt out the door, close it quickly. Tell him to wait, then open it slowly. If he moves, close it again. Stand in front of him, then open the door again. When he remains waiting, then release him.
If you do these simple things repeatedly, they'll become second nature for both of you before you know it. And quickly, you'll have a dog that sits automatically -- it's his way of saying 'please.' You'll have broken him of his jumping habit. You'll have a dog that learns that lying down quietly is rewarded, so he'll be learning to settle down on his own. You'll have a dog that knows how to wait at a door, and knowing what Wait means is the first step to using that command in other situations and learning Stay. And you'll have a dog with a good recall and who can be taught how to focus soon enough, because he's learning to watch you all the time.
You can toss a couple training sessions in there too, if you wish. Personally, I like keeping training for during the day, and using those 10-15 minute training sessions to teach tricks. For the dog, it's the same -- we're teaching them how to learn. But for us, it's fun. And the dog figures out quickly enough that tricks are fun. They always get rewarded, never corrected, and they make humans happy.