If possible always shut off the breaker before connecting or disconnecting anywhere, campsite or home. This nulls the original question from OP but ultimately prevents arcing that could damage either the plug or the receptacle. This also eliminates the problem identified by joelc above.
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As above, TURN OFF BREAKER first, then other order doesn't matter.
Be sure to ALSO ALWAYS have CG breaker off when connecting or disconnecting shore power. Your power cords plug will last MUCH longer that way, as will CG socket.
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At home I do not shut off the circuit breaker but I do unplug from the house first - for one thing it is easier to pull the 15/20 amp plug on the adapter from the wall than to pull apart the 30 amp plug and socket. At a campground, I always shut off the CG circuit first - before plugging into it and before unplugging from it.