Musnad Ahmad 30:3328

Hajjaj narrated to us, Shu'bah narrated to us, from Muhammad ibn Ziyad, who said: I heard Abu Hurairah saying: Abu al-Qasim (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."