Depends on what your priorities are. If you have a spare box you could use as a temporary plex server, get that configured with docker etc. First, because you won’t cause a service disruption by taking down the main server (your pc).
After you get it configured the way you like, move over to Linux on your main and migrate the docker Configs. If you dont have a second machine or don’t care about a plex outage (my wife and kids would throw a fit lol), move over to Linux and then setup the dockers.
Some folks think it’s a crutch, but I recommend getting portainer for docker setup (simple one-liner deploy after docker is installed) and from the portainer webui deploying everything else. It’s a bit easier if you are new with docker.
Make sure you follow the os specific directions to install docker and docker-compose. Don’t bother with docker desktop, just docker engine (docker-ce)