Well... That depends... 1 little 69.4K Ohm resistor makes all the difference
On a regular OTG cable, pin 4 (ID) is bridged to pin 5 (Ground) at the A-side connector. (I say A-side as many manufacturers use a B-type receptacle on the device, which is correct for regular USB, but contradicts the standards for OTG, but that's another discussion).
On certain Samsung models (I don't know which, but it worked on my GT-I9305), you can trigger "dockmode", which allows simultaneous OTG usage and charging. The dockmode is triggered when pin 4 and 5 are bridged over a 69.4K Ohm resistor, and power is provided from the cable when inserted.
So with a cable like that, the correct order of connection is:
1. Power source (as power has to be present for dockmode to trigger)
2. Phone
3. USB device (such as DAC)