No, you don't have to complete the assignment all at once and you don't have to go in order.
You can leave an assignment at any point and come back later to continue working where you left off (just make sure you finish before the due date). You can also skip around in the assignment as much as you want. Your current answer will save when you click Check Answer. If your assignment does not have a Check Answer button, your answers will save when you click Next, Previous, or otherwise navigate to another question.
For more information about the learning environment, see the help article Learning Environment Basics.