For me the most difficulty was in-fact the first movement. The third is more fast technical work, the first is one of the most emotional movements ever written in the piano concerto genre and to pull off requires exceptional technique and musicality, but is a fantastic challenge to set yourself

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Best advice to you is go through all 3 movements and pick the most technically demanding parts, and make them into daily exercises for yourself. Then once these are mastered, move onto easier parts starting with the 2nd movement and working outwards from there.
Ultimately for large scale works you must try different learning approaches and see what works for you. I go for most difficult parts first, then towards easier, others prefer to cover easier material first so the feel they are making progress.
Best of luck