I noticed the new Downloadable Content menu that came with patch 1.8 but selecting any DLC does nothing. When I downloaded Dawnguard, it automatically installed as soon as the download completed unlike Dragonborn which at least gave me a choice of installing it when I wanted to. I want to start a new character but with Dawnguard uninstalled until I am ready to play it.

The Dawnguard files are somewhere in the Game Data folder of your ps3 system, find those files and delete them, voila

All skyrim dlc are stored in the skyrim update folder as one big file (yes your dlc is essentially updates).
To uninstall ANY dlc you need to delete this file and reinstall update + any dlc you'll want to stick with.
Be careful: uninstalling this update-file (and the dlc) and starting up an old save can corrupt the savefile if you don't have the same update and dlc installed as when hou made the file.
This means; if you've played a little with eg dawnguard you need to go back to a save before dawnguard was installed - and install the latest update before playing.
Enjoy

whereas DB and HF files are indeed in the update data folder, i think the DG files are for some reason in the Game Data folder instead, or so i read somewhere, so just open up your game data folder and see if its in there or not, cant check on my own atm