If you're strictly watching it then yeah F/Z -> UBW -> HF is pretty much the intended order.
If you're willing to read the VN though I personally highly recommend that as it greatly enhanced my appreciation for F/Z having experienced the VN first. Watching UBW and HF after that is just a cherry on top. But that's just how it was for me! The fact that this is a highly debated topic kinda tells you that there's several ways to go about watching Fate.