In what sequence should I play Baldur's Gate, Icewind Dale and Planescape Torment so I can transfer my character?

It's not possible to transfer a character between the various series. While you can and should go from BG1 to BG2 (And I'd highly recommend using a mod such as Tutu, or the newer Enhanced Edition to take advantage of BG2s more powerful and flexible character creation for BG1), Icewind Dale II uses a different variant of the D&D rules (3rd edition to BGs/IWD's 2nd), and Torment relies on your character being The Nameless One, with a very specific history and set of skills.

The closest you might be able to come is using character editing tools like Dalekeeper to alter an IWD character at the start of that game - but since you will finish BG2 in high epic levels, that would render IWD... somewhat less than fun or challenging.

As far as a gameplay order; play the various series in sequence, but beyond that, it shouldn't matter too much. Do note that Torment plays somewhat fast and loose with rules that you might become used to from the other titles (it's not complex, but it is different), and as noted, IWD2 uses 3rd Edition, which is very different.