Don't forget to flush out the transmission cooler lines on the radiator with compressed air or clean fluid.

Also, replacing the filter requires removal of the fluid pan, so it would be better to replace the filter before flushing the transmission. That way you don't waste all that nice clean expensive fluid when you open the pan. True you will be getting some dirty fluid on a clean filter, but since the filter lasts 60k miles or so, and the fluid in the trans has already been through the old filter a million times, that shouldn't be much of an issue.