A person just accepting Islam should pronounce shahaadah before wudu
Question

                When a non-believer becomes Muslim, should he pronounce the two testimonies of faith, al-shahaadatain, or perform wudu' (ablution) first?
Praise be to Allah.He should say al-shahaadatain first, then he 
  should purify himself for Salat and he can perform ghusl (complete 
  bath) because the prophet  (peace and blessings 
  of Allah be upon him) ordered some of his companions to perform it when they 
  accepted Islam. 
See question #179 for an explanation of the two 
  testimonies of Islamic faith.