What's your strategy for doing the dlc's?

In order of Difficulty, Honest Hearts, Old World Blues, Dead Money, Lonesome Road. However, Dead Money can be done first if you want to and I would not go into OWB over level 20 because of the scaled enemies that DLC.

As for strategies, I don't worry too much about that, other than making sure I have enough ammo in OWB. The DLCs usually give you what you need to complete them during the DLC, so you can go in with no weapons if you choose to. Although LR would benefit from a AMR.