I've actually never played any of the DLC areas. Anyone have tips on when to do them or how to fit them in to a playthough?
Generally, I've tended to play them in this order: Honest Hearts around level 10-15, Old World Blues around level 20-25, Dead Money around level 30-35, and Lonesome Road around level 40-45. Dead Money was released first, but generally speaking you'll have a better time at higher levels when you've got some skill points and implants under your belt for speech/skill/stat checks, crafting stuff at hotplates, repairing armor and weapons, etc. It's a survival/exploration DLC, so going in green kinda sucks. The enemies in the DLCs scale anyway, but the scaling isn't intrusive and gay in the way Bethesda's scaling always is. Also, by delaying Dead Money you'll meet certain key characters in person later in the DLC order, rather than right away, which is more fun since you get to pick up clues and notes about them in the preceding DLCs.
Aside from DM's shift from first to third, the rest of the DLCs were released in the order I've outlined. I suggest doing Honest Hearts first because it offers a lot of aid and chem ingredients and recipes, which is useful early on; also, the weapons and poisons it has to offer are best used and enjoyed by lower-level characters. A poison that deals 150 damage over 10 seconds (the most potent one) isn't all that useful later on, for example. The lack of super-strong weapons or armor is another reason to do it first. Also, Honest Hearts can be quite difficult if you start it around level 15-16, because you'll quickly reach level 20, and then certain very tough enemies will begin to appear.
Old World Blues will probably be a bit tough no matter when you do it, because a design quirk renders sneaking near-useless, and the featured enemies are quite bullet-spongy (Energy Weapons helps). It's best saved for later because it offers some very strong implants, weapons, and also certain utilities and crafting resources. Like DM, it too has some high skill/speech/stat checks. That said, if you want to boost your character early on, doing OWB early might be a good choice... but not too early. There are some frisky enemies in OWB and you'll have no companions to speak of.
Lonesome Road is a dungeon crawl best saved for last because it's best to save its lore/story for later, because it offers some tremendously powerful equipment, and also because I imagine the various enemies will rip you a new asshole if you enter especially early, scaling or no scaling. Plus, you'll make way more cash from looting the featured enemies. That said, it's possible to poke your head in very early and grab a basic version of the game's iconic armor set, but HH also offers a version of it (my favorite one, visually), so there's no need for this level of metagaming.
I've always hated the modern DLC-peddling way of integrating "new" stuff in with "old" content, meaning not integrated at all but you are expected to just swap between two different worlds whenever the hell. It's like if an author wrote several books and expected you to read them all simultaneously, jumping from one to another mid-sentence if it pleases you.
OWB, HH, and DM wall you into their respective areas until you complete them. A lore-based reason/excuse is always given, and it's very necessary in DM's case to prevent you from bringing in overpowered gear. Making do with what you find is a key feature of DM, and one that I like. Lonesome Road allows you to leave and return at any time, so aside from being in different worldspace, it's basically just another area connected to the Mojave. Once you complete Dead Money and leave, you can't return without console commands or a mod. This is mainly to fit the DLC's mystique and to prevent you from taking advantage of certain resources with full access to all of your stuff. You can return to the others at any time after completing them.
They are all accessed from special locations within the Mojave, with transitions generally no different than opening a door from an exterior worldspace to an interior.
In terms of the weapons, consumables, armor and so on, they're very well integrated into the main game. Merchants will for example start selling weapons, weapon mods, and ammo types normally only found in the DLCs once you've completed them. Recipes can generally be created anywhere. After completing DM, a special device unique to that DLC will be available to you from within the Mojave. You will need to return to Big MT if you want to visit The Sink or use it as your home base, via a special item you're given.