Yeah, so you have to spend time tutoring them in that specific skill. There's three stars, but we aren't actually sure if it only takes three times to change (I think I remember someone mentioning that they saw a video of Hubert being tutored, and the first two times fill stars, but the third time didn't). It could also differ depending on the character too
Edit: as for order, it just depends on how early you want those characters to use those skill levels. The only obvious one to do from the beginning is Dorothea, because her natural path is as a mage, and it'll be better if she has access to more magic.