Edited version: Managed to install in this order without problems:

base game
mind games
gold edition upgrade
gold edition patch
juggernaut
necromancer
pilgrim

Actually, the installation order is pretty simple. You install the games in their order in the game's tab. That's right - you install as they are there, starting with base SWORD OF THE STARS: THE PIT, which is 522 MB big.

Then you install MINDGAMES, GOLD EDITION UPGRADE and the PATCH 1.5.4.

Then you can install DLCs in any order you like, as Kherberos revamped the game a year ago, making all further DLCs install seamlessly on the top of the base GOLD EDITION.

And that's it.