The manual for our (4) CMY Zoom 250's seems to show the correct order for set up to be as follows:

The first fixture the output from the controller reaches is the last in the chain and the last input to be reached is actually fixture #1 with the starting address of 1.

Does this sound correct? It seems backwards right? But the illustration shows it in that order.

Thanks for helping a newbie out! Myself and the club owners are excited to get this operational asap.

It makes no difference. As long as you go out of the controller and into a light, and then out of that light into the next until they are all hooked up, they will work just fine. The controller broadcasts signals on multiple channels. By connecting the DMX wire (the "antenna?") to the fixture and tuning the fixture to the broadcast channel intended for it, it will receive it, and only it, regardless of where it is on the string of fixtures.

Yup. Like Hobson said.

As long as the DMX fixtures are getting DMX signal, it makes no difference where they are in the chain.