Musnad Ahmad 30:2183

Muhammad ibn Ja'far narrated to us, he said: Shu'bah narrated to us, from Muhammad ibn Ziyad, he said: I heard Abu Hurairah saying: The Messenger of Allah, peace and blessings of Allah be upon him, said: "Put them both on together, or take them both off together. So when you put on, begin with the right, and when you take off, begin with the left."