They are equally natural. The first should really be one sentence separated with a comma. The second works well as two sentences presenting two distinct thoughts. It gives more emphasis to the second thought. “Then” is used here as a conjunction, not an adverb.

Great question! To keep it simple, I'll say the first is normal, used everywhere, while the second is more formal and not really used in casual contexts. If I were giving complex instructions to someone, I would probably use the second placement: "First, you will do this. Next, that. You will then do this..." It sounds quite bossy and authoritative, in my opinion.