Add the danios first as cories can be sensitive to bad water quality while danios are incredibly hardy. If you cycle your tank with enough ammonia, you can add all the fish at once but I'd encourage you to add them a few at a time anyway. If you only use a little bit or something like fish food which you can't realy predict, you should add the fish a few at a time.
You can tell zebra danios apart because you'll notice that females are much deeper-bodied, larger and fuller than males who are longer, smaller, slimmer and more stream-lined in appearance. If they are long-finned, the males, you'll notice, also have longer fins than the females (this isn't evident in the ordinary zebras though). Another thing to look for is the background color on the females being more silver while the males are more gold - unfortunately you need good lighting to see this so it may be difficult to tell at your LFS and it isn't always reliable - I wish I had pics of my danios now though - it's realy obvious which are male and which are female once you know what to look for...
The Wolf has a great site all about danios and I'm sure there's a pic with a male and female zebra danio in it for comparison.