I think this all depends on your personal preferences and goals. Each of us has found our own individual path that we follow that is best for us, but not necessarily best for others.
I personally went to kegging first. The reason was simple, I really disliked bottling. I disliked just about everything about it. In fact, I still tell people that if I were still bottling, I would've stopped brewing a LONG time ago. But that is me. There are some that have bottled for decades, and either don't mind it, or actually enjoy it. For me, going to kegging was the priority, especially because at the time I kept finding great deals on craigslist (kegs for less than $20, CO2 tanks for $20, regs for less than $20, etc.).
After kegging, then I did fermentation control. This is definitely important, and looking back, I think this would be more important than kegging, especially considering that controllers are so cheap nowadays (Love controllers were the cheapest back when I was buying, and even then, they weren't that cheap!).
After that, I went all-grain. The only reason why I would really caution you about going all-grain first, is that I don't know your water profile, and I don't think anyone else here knows that for you. It could be amazing water, and could produce great all-grain beers. It could also be horrendous for brewing and cause you all sorts of problems with pH and unexpected flavors. The thing is, you won't understand all of that until you do some research and figure out exactly what is happening through the all-grain process.
Since you don't have fermentation control, I doubt you also have yeast handling equipment. That is something else I would recommend you at least look in to. It could be as simple as some DME and a flask, or you could go so far as to canning and use a stir plate (this is what I do now, and it is great, but requires some planning, and not something I'd necessarily recommend for a new brewer).
The other thing I wanted to ask, which may be a bit personal, is what is your budget for this upgrade that you are looking to do? Like others have said, kegging can be quite hefty to be done well (and I'm not a big fan of half measures). I typically recommend to brewers that if they don't have enough saved for a full setup, it is best to wait and save more so that you don't have to buy twice. So if your budget is smaller, it may be best to look further into the fermentation control, yeast handling, then all-grain (yes, I would consider yeast handling more important than all-grain).