I always apply mascara first - I like to wiggle my mascara into my lashes to get the most out of it, and that always turns out messy!
To prevent fallout, best way I've found so far is to spritz water/Fix+ onto my brush AFTER picking up product, then patting it on where I want it to be instead of brishing it on. That keeps the shadow from flitting to everywhere (i.e. lashes and cheeks) but my lid, and use less product as well.
HTH!