Yes, the order makes a big difference. Each pedal affects all that came before it. Placing a distortion pedal at the end of your pedal chain will give you a different sound than placing it first. After experimenting, you will probably find your favorite spot to be just in front of any effects that modulate the sound, such as chorus, delay, and reverb. However, finding the sound that best expresses your music is not a matter of right or wrong. Experiment and be inventive.