You would go through these is this general order:
Palaestra- exercise room, socialization, preparation for baths basically
Apodyterium- changing room, to get... changed?
Tepidarium- warm bath room, spend time sitting in a warm room. Prepare for the next room
Caldarium- hot bath room, hot water to soak in. After that slaves come rub you down with olive oil (soap was not invented yet)
Frigidarium- cold plunge bath, rinse down the oil with cold water
All hot room were heated by hypocausts, a way of hot air circulating through walls and beneath the floors
tada