So with BW film, I'll put the red filter next to the lens - then the CPL if I am using it and really want a blue (so black) sky.

I have just discovered that most of my rubber lens hoods have threads on both sides. I always put the lens hood on last.

Now this order or lens hood and filters may make no difference with 35/50 and above. But stacking filters on wider lenses 28-24-20 can lead to vignetting.

So for a lens hood. Should it go on last - after the filters? Or on first then the filters go on to the lens hood?

It's actually a complicated issue. Assuming the lens hood is one of those that's cut to match the rectangular format, and assuming it's also matched optimally to the lens to give you maximum screening,(which may not be true) then any forward displacement of the hood is going to cause vignetting, so it should go on first. However, stacking a bunch of filters can also give you vignetting, especially since the round filter is not cut to match the rectangular format, and putting them on the front of the hood moves them further forward. The filters are obviously going to be worse for the corners if they go far enough forward to cause any vignetting, but on the other hand they may have more leeway to move forward before causing any vignetting at all. Short of doing the computations, for which you probably don't have enough information on the lens, or doing it empirically with a laser and ray-tracing backward from the film plane, I think you should just take some test shots of a uniform blue sky and try different stacking orders.