The proper way to make tea is in a teapot, then when you pour it into a cup the individual can decide to have milk in first or not. Having said that, I'm lazy and always make it in the cup, so for me water first, teabag out then milk in. Putting the milk in first means the water's not hot enough to brew the tea.
Also, apparently you need to let it brew for 3 minutes to let the healthy antioxidants be released.