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They can be hard at times though so it might be worth doing one and then doing a main world mission or two then doing another so it doesn't become tedious. I'm pretty sure the main game warns you of when it's point of no return is approaching so that might be a good time to hit them. Some of them can be pretty hard, so having a higher level character to go into them can help ease the burden, and with minimal spoilers there are parts of one that are best experienced once you have an understanding of the story/factions/characters of the main game. I agree with them in release order is best, unlike Fallout 3's dlc there are connecting story points, not huge or anything, playing them out of order wouldn't ruin anything, but the 'aha' moments might be lessened. I would recommend only starting DM, OWB, and LR after hitting 30. My assessments up there were based on my experiences entering the DLC as the came out starting at original level cap of 30. Dead Money is recommended for 20+, Old World Blues 15+, and Lonesome Roads 25+. Honest Hearts does not have an official recommended level.
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Complete all the other DLC and be on the last mission in the endgame before you start it. Lonesome Road is meant to be done as close to the end of the game as possible. So you better invest a bit in energy weapons and possibly unarmed or melee before going in. The weapons you find Old World Blues are the most effective. The problem is much of your stuff will be pretty useless on the enemies in Old World Blues at least it seemed that way to me. Old World Blues is also harder than anything in the base game but not as much of a challenge as Dead Money since you get to take your stuff. To access it you need to be in the New Vegas area and you will probably be able to do it by the time you reach that area. Honest Hearts just feels like an expansion of the base game areas in terms of difficulty. I would save it towards the end but you can try it earlier if you want a challenge.
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Dead Money is much harder than anything in the base game and it strips you of all your items in it.
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