The main point on deciding which actions triggers first is consulting if the action is either required or optional actions. In case of two actions in the same categorie (two required actions for example) the freeps decides the order in which they occur.
Optional actions follow the action procedure, which is just a fancy way of saying the players take turns (with the FP player having the opportunity to go first).
But notice that, like Jord sayed, skirmish resolve before actions as assign wounds take place, so actually you respond to it before threats trigger because the winning side is defined before wounds are placed (or the character is killed).
When do the threats trigger? They trigger as a result of a companion/ally being killed, not from winning/losing a skirmish. You can say that both wound placement and
DttLC are required actions that trigger when a skirmish is resolved, but you can't say the same for threat assignment--threats have a different trigger.
So what I'm getting at is, when threats are assigned really depends on the situation, because it depends on when a companion/ally is killed. If the first required action to the skirmish resolving is to place a wound on a character, killing him off, then this is the trigger for the threats. The threats will be assigned before any other required actions to winning/losing a skirmish have resolved.
If as the final optional action to winning/losing a skirmish you somehow manage to kill off the character, then the threats will be triggered last. It all depends.
To give a few examples:
Threatening Guide wins a skirmish through strength. A wound token is placed on the losing companion as a required action, but the companion survives. Next, optional actions are performed. Let's say you want to use Gollum's text and also have
You're a Liar and a Thief in hand, which can kill the companion. You can (1) add a threat first, then play
YaLaaT, triggering all the threats; or (2) play
YaLaaT first, triggering all the threats, then add a threat (which stays).
Threatening Guide wins a skirmish through wounding (killing the companion). Actions that trigger from the companion being killed must be performed before actions that trigger from winning/losing the skirmish: when a character's vitality is reduced to zero, that character is killed; when killed, that character is removed from the skirmish, and the other side is declared the winner (in a 1:1 skirmish). Threats are triggered as a required action to the companion being killed. Next, required actions to winning/losing the skirmish are performed, and then optional actions. At this point you can add a threat (which stays).
Threatening Guide wins a skirmish through overwhelming. This is a bit tricky, but I think actions that trigger from the companion being killed must again be performed before actions that trigger from winning/losing the skirmish. (I can see a debate over this, though.) If that's the case, the situation would proceed as in the wounding case.
---
As for whether regular wounds must be placed before performing actions triggered by winning/losing the skirmish, I did find something interesting in my search:
Here we have Merrick saying regular wound placement comes first:
1) Character loses the skirmish and wounds are placed/characters are overwhelmed.
2) If a character dies, threat wounds must be placed one at a time since this is a mandatory action resulting from a character hitting the dead pile.
3) After all wounds are placed, then you may respond to items triggered by losing the skirmish (Mind and body, etc.)
4) After all required responses take place, optional responses take place (as indicated by the word "may" in the game text of the card).
5) Skirmish ends after all optional responses and actions are completed.
And
here we have Bib saying the Free Peoples player decides the order:
And that's when the Mandatory/Optional rules come into play. Let Them Come is a mandatory action, and so the FP would get to choose whether to place the wound(S) for winning first or to use LTC first.
The timing rules for this game are really quite clear.
(Couldn't resist copying the second paragraph.) I've been using this interpretation, but they're both right 99.99% of the time, so...