Considering the date you probably already know the answer, but since this is a relevant question and no one else replied I decided to give my two cents just in case other people have the same question.
I'll try not to give any spoilers, but proceed with caution if you don't want to know anything at all about how the plot works. After all it's what the question is about.

The two DLCs we have at the moment are fully integrated in the main game. I purchased the game shortly before the first DLC went out and just finished it recently, together with the second DLC. Both DLCs were integrated seamlessly in my save without any issues.

That said, you will probably want to finish the DLC content before the main quest, though you can (and probably should) advance the main quest together with everything else. This is because the game kinda "ends" when you finish the main quest, making it impossible for you to just continue with the rest of the content. Sure you can just load your previous save before the end and do the rest, but this can be a pain if your last save was days before.

The game is absolutely huge, so you could advance in all quests and then stop advancing the main quest when you feel you're "almost there" (it'll be pretty obvious to know what that means) while you focus on finishing the DLCs.

Another pointer, though again I want to keep this as spoiler-free as possible, is that the second DLC kind of builds up on the first one, story-wise, sou you might prefer to do them more or less in order. This should help you understand the plotlines more easily.