Historically, pilots would apply everywhere, take the first interview and job offer they got, and feel darn lucky to have a job.

However, since entry-level pilots are in high-demand right now, you can exercise some selectivity. I would apply to your desired airlines in order of preference, ie number one first. If you don't get called in a few weeks (maybe a month or two), then move on to number two...

You DO NOT want to interview at your last choices first, get an offer, and turn it down. Because then when your number one choice rejects you, you will be out of options!

Keep two things in mind:

1) Most 121 interviews are tough, it's normal for good pilots to get rejected. Your odds are better today because of the shortage, but expect to get rejected at some point in your career. Don't take it personally, but try to learn from it.
2) The first interview is always the hardest, after that you know what to expect.

If you want to do a "practice interview" that would be VERY helpful...pick an airline that you are sure you don't want to work for and go interview. Mesa would be OK for this, but their interviews might not be very rigorous at this point