As a yorick player, I'd advise you to eat the creep wave. I can poop out minions like no tomorrow, and eating one won't really make a difference. Eating the creeps will at least push the lane a bit in your favor however.
As a bit of advice, smack the red minion, run from the rest. The red one heals yorick, no real point in killing the other one's as you'd just be tanking their damage and yorick will slowly whittle down your health if you let them hit you.
Also, the red minions are his only sustain mechanism, so if you draw it off the creep wave (they prioritize champions) and kite it or kill it, he won't be getting health back.
As for what to level first, don't play nunu, can't really advise you on that.