First, this is your wedding! Whatever you like is the right thing for you. However, I've put together the common guidelines for a monogram order in case you aren't sure what to do.
Typically for the bride, or other woman, her first initial is at the left, middle initial is at the right, and last initial is in the middle, typically larger than the other two. For the couples initials, the bride's is at the left, the groom's is at the right, and the married last name initial is in the middle, again typically a bit larger.
Example, for Susan B. Anthony, Her monogram would be SAB.
For George and Martha Washington, their married monogram would be MWG
For the groom, or other man, the same guidelines are sometimes appropriate, however it can vary. In some instances, especially if using a block, serif or sans serif font, a man's monograms can go First initial, middle initial, last initial, all one size. If the last initial is in the middle, is is still done a bit larger.
For wedding monograms, the bride's name usually goes first. Seems like for everything else the husbands name goes first, but in this case the bride gets first billing! Of course, as with anything else, it's your wedding, so you can do it any way you want to! The order for married monograms is typically Bride's first initial, married last name initial, Groom's first initial.
When entering your monogram on your order, enter just as you want it stitched. If the name was Susan B Anthony, then you would enter SAB on your order. Orders will always be done just as entered, with the middle initial larger. If you want it another way, please make sure to state that in your order notes. You are always welcome to list the persons full name, to make sure the monogram is done correctly.