I can think of a few reasons to do and not to do either...
Makeup on first, there'd be the risk of smudging it when you're putting the filly slip on, and would therefore have to remove it and re-apply with the filly slip on. To avoid this, you would put the filly slip on a naked face and then the makeup.
Filly slip on first, there'd be the risk of getting black show makeup all over my show browband (a good 1/2 hour to hour of work right there and I don't have a backup) - big disaster! She will be presented to the nines and to have no nice ribbon browband just won't work. My other browband option is too small for her AND it has silver on it... my filly slip has brass buckles. (edit; guess the risk of getting makeup on the browband would be there either way, though...)
I have a plan for the order to do everything else in but face makeup and filly slip I'm not sure. Pros and cons of both ways would be nice so I can make an informed decision.
...can you tell this is the first time I've bothered with this sort of stuff?