@Nathalie_Collins misunderstood your question — what she was talking about is the sort order in which the records are displayed in the pop-up window when you are adding linked records into your linked record field. Her trick is a great little “hidden trick” of Airtable, for making it easier to add records within a linked field.
However, when it comes to lookup fields, the lookup field will only display its values in the same order that matches the order of your linked records that you previously chose within your linked record field.
In order to shuffle the sort order of your records that you’ve previously chosen within your linked record field, you’ll need to first expand your entire record by clicking on the blue double-headed arrow in the left margin (keyboard shortcut: space bar) or just expand the linked record field itself by clicking on the blue double-headed arrow within the field (keyboard shortcut: shift-space).
Then, you can drag-and-drop the order of your linked records around — and your lookup field will update itself accordingly.