I think the common knowledge is to go far to near, but I go near to far. The reason for this is because the target order is near to far so I find it easier to be consistent if I start every lane at 10 yards and work towards the first target. This also helps if you have two targets and can't tell which one is the closer target.
I think as long as you do it the same way every time, it's fine. The bigger concern is how you do the focus dance. Do you stop turning the wheel as soon as the target is in focus? Or do you keep turning until the target starts to blur, then come back, then go forward, and keep rocking back and forth until you feel like you are in the middle of the "focus range"? I do the later. I used to do the former but it doesn't work as well for me.