There is no right or wrong way to leveling up your pirates, Its really just a personal preference. I know some people who max them all out at once and others who do one at a time. Its all a matter of what works best for you.

I personally like to work on one pirate at a time. My musketeer is my favorite to quest with so he is the one I max out first. I try to keep my other pirates are scattered throughout story at least a world apart from each other. The reason why I don't want to have all my pirates maxed out or all in the same spot in the story is so i do not replay the same content too often. Although during the time between major story updates It gets more and more difficult for me to keep them staggered throughout the game. I currently do have a couple max level pirates waiting for new content as of now. then again I still have one that hasn't even left skull island that I will probably play after i max out my musketeer when we get a new story update.

Hope this helps