As a general rule, which do you use first when exfoliating: The chemical, or the physical exfoliant? ?

When using both as part of a skin care regimen, which comes first? If I use the chemical exfolient second, I worry I'll be putting acidic chemicals on lightly scratched skin, but if I use the physical exfolient second, won't my skin already be sensitive? I have tough skin, but I sometimes burn myself when "dry-shaving". Bonus Question: Where is the cheapest mail order retin-a? :-)