No Order of Operations Exists...

These are rules you'll have write. It's unfortunate in d20 that there's no quantified step-by-step order for combat and applying effects a la most trading card games. Were there, we could just say, "Immunity applies during step X, Damage Resolution, after Saving Throws but before Inflicting Effects," or whatever.

...But If You Want My Opinion

Yes, if only so the creature can choose to give up that saving throw.

Immunity shouldn't remove options everyone already has that aren't part of being immune. As everyone has the option of giving up a saving throw before knowing an effect's effect, immunity shouldn't change that.

Therefore when a creature is subject to an effect that requires a saving throw, the creature can choose to either make the saving throw or voluntarily give up (i.e. fail) that saving throw. Then the DM determines if the creature's immune to the effect.

Thus, unless the creature already knows an effect won't affect it (via a successful Spellcraft check, a successful Knowledge check that's revealed the opposition's abilities, or prior experience), the creature attempts the saving throw despite realizing an instant later that it possesses immunity to the effect.

That's because Pathfinder (and its antecedents) is a dangerous place, and what individuals can do varies wildly. A creature is safer if it always attempts saving throws versus affects, even if it thinks it might be immune to such effects because there's usually a random component to identifying effects, and being dumb gets it killed. Even a red dragon--who's immune to fire--will still make a saving throw versus the spell fireball [evoc] (Pathfinder Role-playing Game Core Rules 283) because there's no way to anticipate how a particular caster's fireball is going to differ from any other caster's fireball.

If immunity is checked first there's no opportunity to voluntarily give up the saving throw, and that opportunity should exist even if the creature's immune if for no other reason than to let the DM, when describing the spell's effect, tell the players that the creature appears to give up its saving throw, acting all awesome because the creature suspects he's immune.

If a Precedent's Absolutely Necessary

When spells are printed, they're printed with a Saving Throw first and the Spell Resistance after, so absent another order, those are checked in that order. Linking spell resistance to spell immunity is easy, but making the jump from spell immunity to immunity is harder, but, hey, the words are there.

1. RAW interpretation:

   Torches would deal 1d4 unlit as an improvised weapon and only 1 lit as per torch description, specific overrules general.

   A reason for this by RAW could be it's burning, twigs and sticks that are alight are brittle and fall apart at the softest touch.

2. Rules as Intended/Logic

   Torches are usually a bunch of reeds, sticks, cloth and other flammable substances attached to a piece of wood, of which the strength there of may vary (DM's decision whether it is a solid piece of oak or a simple flex of more solid branches). They can be fairly flexible but brittle too and therefore not really appropriate to be used as an improvised weapon. Think hitting someone with the equivalent of a pool noodle, that's not going to do 1d4 damage.

   Just because rules allow for many things to be used as an improvised weapon does not mean that anything and everything can/should be. I stab him with my sewing needle, it's an improvised weapon, I deal 1d4 damage. Common Sense Rules.

   Torches cannot practically be used as an improvised weapon, they would most likely break apart after one hit. So would deal no damage as a weapon unless lit when it deals 1 fire damage.

3. DM Allows Torch as Improvised

   If your DM is going to rule that they can be used as an improvised weapon then they would deal 1d4 bludgeoning and if lit 1d4 bludgeoning + 1 fire damage.