In what order should I play the DLC's

Definitely save Lonesome Road for last. Pretty much all the other DLC's foreshadow what's going to happen and lead up to it.
 
sorry for short article, it's too difficult me to write with cellphone.
At HH, you can get non-combat skillbooks at some caves ramdomly. if you luck enough, you can get 2, 3 or more skill books in single box but usually it's rare to get. so save before enter the cave and check the workbench box. if you want more skill points, it would help. but if you don't care about that, then start OWB fist.

at OWB you can get useful perks(or implant) to help you to beat other DLCs.

DM is little bit hard. but if you beat it, you can get great reward.

and try RL after these three.
 
We actually had a thread recently that ended up going into this in some detail. The general concensus is that you want the best story experience, you play Honest Hearts first since it only refers obliquely to any other DLC content, and you play Lonesome Road last. Opinions vary on the other two. OWB has a lot of information about characters and events in Dead Money, but some would consider it foreshadowing and others would say mild spoilers. I tend to do Dead Money first since the level recommendation is lower and it doesn't leave you with as many high-powered perks and items.
 
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