I don't generally focus specifically on the main story lines in any order, but I frequently find myself finishing the dawnguard story-line before I finish the main Skyrim story line.
The fact that some of the foes you'll face in the wilds of Solstheim are a little tougher than those on the mainland may encourage you to face the challenges of skyrim-dragonborn a little later. In general, each DLC adds content to the game and they can all be safely installed and played at the same time.
