The HWT should fill first when city water is turned on b4 the lines are pressurized. As long as your HWT is not bypassed, I always go and turn on the hot water until a steady stream is flowing (u know then the tank is filled completely). Yes, I then light the pilot and let it heat for about 30 sec. Then, just make sure you turn the HWT knob to "on" and not on "pilot". That should be it.
2007 Jay Series 806
2012 Jay Feather Ultra Lite X20E