We are about to begin setting the tile in the shower. Which should we do first? The floor or the walls?

Its best to do the floor first then the walls. This way the wall tile overlaps the floor tile grout joint along the walls. A silcone caulking should be installed in this joint.

What process should be used to set shower floor tiles on previously poured marble shower floor?

Skiberger is correct on both counts. Can you tell us what you used for your backing boards on the walls?