There is a really handy keyboard shortcut to switch between those files, making navigating between all your documents quick and easy:
- CMD+Alt+[ for previous document and CMD+Alt+] for next document
You can search all day long for a Preferences setting but you will not find it. It is not there.
Googling for answers on this can also be frustrating, though I have done the leg work for you and can reveal that the Mac's Terminal is to your rescue...
- Simply type Terminal into Spotlight (CMD+space) and hit return
- defaults write com.barebones.textwrangler SurfNextPreviousInDisplayOrder -bool YES
- Hit return and close Terminal
You should now find that TextWrangler navigates through your files in the order they are listed in the document drawer.