Ok,

There are at least two different types of round ball bearing cages in use on headsets.

Thus, it is easiest to look at what you have, and evaluate how it goes together rather than trying to memorize one or the other.

Bearings.jpg

The image on the left, the metal part of the cage goes towards the cone, and the balls towards the cup.

The image on the right, is just the opposite the metal part of the cage goes towards the cup, and the balls go towards the cone.

As far as order, I prefer:
Crown Race: Cone
Lower Headtube Race: Cup
Upper Headtube Race: Cone
Top Race: Cup

I believe the result keeps the upper bearings cleaner.

But, many headsets have the top two parts reversed.