It’s certainly your choice to iron them all first or do them as you go, there are plenty of us who do it both ways, I have a little ( Brayer- roller from Nancy’s notions) that I use next to my sewing machine to press each strip after adding it. I get up and iron when I feel I need to.
Wouldnt hurt to try the Golden paper as your foundation. If I use paper I usually use cheap printer paper or newsprint. 99% of the time I use thin, inexpensive muslin though so I don’t have to remove it. Again, your choice.
you certainly don’t have to start with white strips. You can start with any strip you want that will go across your foundation.