We investigate the relation between backbone and side-chain ordering in a small protein. For this purpose, we have performed multicanonical simulations of the villin headpiece subdomain HP-36, an often used toy model in protein studies. Concepts of circular statistics are introduced to analyze side-chain fluctuations. In contrast to earlier studies on homopolypeptides [Wei et al., J. Phys. Chem. B 111, 4244 (2007)], we do not find collective effects leading to a separate transition. Rather, side-chain ordering is spread over a wide temperature range. Our results indicate a thermal hierarchy of ordering events, with side-chain ordering appearing at temperatures below the helix-coil transition but above the folding transition. We conjecture that this thermal hierarchy reflects an underlying temporal order, and that side-chain ordering facilitates the search for the correct backbone topology.