If you have not installed the bumper, Install the winch first.
I had to drill the holes out on my JK to install the bumper, if that is the case do that first and make sure the bumper is going to fit and then put it back on the ground and install the winch and then put it onto the jeep.
You don't want to be lifting the bumper up and down with the winch on it to test for fit. And my hands were too big to install the winch with the bumper installed. If not for my nephew being here, I would have had to take my bumper back off to install the winch.
I just traded my jeep in for a new one, and removed the bumper from the old one and installed it on the new one with the winch still attached. Much easier.
Will probably need a second person to lift it into place like that though.