You will need to start with Social Security. Once you have your new social card (your number will stay the same) you can get rolling on changing other documentation.

Don't forget if you are booking any flights your ticketed name MUST match the name on your ID/Passport. So on the off chance you have any flights booked with your current last name, you must either keep your old ID's - OR - go through the arduous process of getting the ticketed name changed on your airline tickets.