Yep. Linux is much easier to dual boot then windows. So if you install Windows last it will overwrite the Linux stuff, but usually the installer in Linux will take into account Windows installs.
And since Vista is newer then XP then Microsoft probably put time into making sure that dual boot with XP and Vista worked well.. But with XP it didn't exist. So it's likely that Vista is a bit smarter and should be installed after XP to ensure XP doesn't mess anything up.
So your right, XP then Vista then Linux. Make sure that you know how to use a recovery cdrom to restore Vista's bootloader in case something goes wrong. With XP it was fixmbr command, I expect Vista should be similar.