It never helped me to memorize them "in order" or with a phrase like "All King Edward's horses..." Why? Because when my instructor says "trot to M" you don't have time to think through a whole phrase of list of letters, you just have to know that M is "there".
Sooo, with that in mind, I just tried to memorize one letter at a time and where exactly it was. So, for example, it's pretty easy to remember that A is in the middle of the end where you enter the dressage ring, and C is the middle of the far end, where the judge will be. X is in the middle.
Then I began adding more letters, usually 2 at a time. I used my own associations and tricks to remember the letters. For example, I looked at the letters on paper and realized that the E and the B were opposite each other in the middle of the long sides (with x in between them). Well, Eb is the name of my cat so it was easy for me to remember that. (I always picture the arena as if I am looking at it from the A end of the arena.)
I also used a flashcard to help me. I drew the arena with all the letters on one side of a 3x5 card, then I'd turn the card over and try to name the letters I was working one, then slowly added more.
I know it seems like memorizing these few letters should be easy, but it certainly was not for me.