Well, that's a pretty open ended question.
You can certainly "jump around" to a degree on your build. You don't have to follow the exact timeline of the manual. Some of the cockpit aluminum pieces can be a little tricky to fit together.
Like Joe said, the FFCars website has multiple threads on pretty much any issue you can come across.
I recommend reading a couple of really good build threads:
Gregs '65 Shelby AC Cobra Build (FFR) by GREG M on Worldisround
Build Manual Home Page [FFR Roadster]
There are lots of other good ones too. You will find there are many different ways to build and/or modify your car to suit your own tastes.
It just depends on what you want to do with your car when you are finished, and your budget of course.
In any event, enjoy the process and try not to put a timeline on it. Overall, it's really rewarding.