This is how I did it. After finishing those 4 stories had a small break and did the rest.. My recommendation is getting that final character, picking a party of four, and sticking with those. After you did all the chapters of those four, do the remaining ones. That way you'll not risk compromising the game's balance too much early on, you'll get more narrative pay-off more quickly, and you won't be staring at the game's structure as much.
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Pretty hyperbolic comments saying the game is "pretty bad". At least it plays great unlike one recent cowboy game. It has it weakness in structure being repetitive but that's pretty much it. Stories are fine, art, music and combat is great.