Is it smarter to pick off the weaker Magisters first or focus on Alexander and his main guard?
Short answer: Alex.
Long answer:
I did this on tactician. When you're in dialogue with whoever you have that can teleport out fast, do some prep. Grab all the fire barrels and stack them around Alex. quicksave when you do this just incase so you don't have to do it over if the barrels explode by accident when moving them.
Positioning-wise, stay behind the wall where the highest mage is. where no enemy can attack you. Then it's pretty easy, just blow alexander up from the highest ledge, but back away at the end of the turn so you don't get backlashed by the gheist or swapped by Alexander. Then do this dance until Worm shows, they will all focus worm, and you can pick them off.