I know you can kind of do this by sorting them by the warehouse/bin location in the order page, but this doesn't always work well.
In shipstation, I this is my default shipping label/packing slip printing preference.
When I hit print, it just automatically orders them that way. Then as I go pick the orders, they are in the most logical order.
Makes a lot of sense. I know picking lists are good for this, but if you go pick potentially hundreds of orders and have hundreds of SKUs in your inventory, this makes it really difficult to go find the items when you go to actually pack them with the packing slip and label.
Shipstation does this and it is a huge help.