Leveling DoH and DoL together with your first DoW/DoM class gives you an advantage in making your own gear. Personally, I enjoy that part, but it does slow things down significantly, which many people don't like, so a lot of people choose to wait and level them along with secondary alt classes instead.

It is very helpful to advance all the crafting classes together through at least the first 15 levels, to get the first set of cross-class skills. After that, you can focus on one or a few at a time the rest of the way to 50. (Though for endgame crafting, you'd want to eventually get them all to 50. There's another important set of cross-class skills there.) As to which to focus on first at that point, I'd say Armorer, for your Gladiator's gear, Leatherworker which as Eye_Gore mentioned makes a lot of the materials Armorer uses, and Weaver, to make your DoH/DoL gear (plus it also pairs well with LTW for making each other's materials).