From a chronilogical perspective, as in, what happened first, the events at Big MT (OWB) happened before the events at Sierra Madre (Dead Money). I personally played it as HH -> OWB -> DM -> LR. If I could change the past, I would do it exactly the same. I should note I played HH at Level 6 on hardcoe, Hard difficulty. I don't regret it.
It made the experience that much more real. I suggest you do similar. Otherwise, simply go the way they were released. (DM -> HH -> OWB -> LR). I would suggest, wherever possible, to play Lonesome Road last.
Just my 2 caps.