Would you guys recommend doing the expansion campaign before finishing the main one? Because I notice that my party has the option of doing that now.

There's a couple ways to go about it:

1) Do the expansion before the final area of the main game and then return to finish. You'll likely find your party will be overpowered for the final battle though. You could also do the Trials of the Luremaster before finishing HoW, but again you'll find your party will be too powerful.

2) Finish the main game. You characters are exported just before the final boss. After finishing the boss off (you don't get any treasures from him so your party won't be missing anything), your party is automatically exported. Then start a new game of HoW and use your exported party. Probably makes the most sense to do it this way. A warning about the exports though: none of your containers are exported, so anything in them will also disappear. All your items that you're wearing and in your inventory will be exported with the characters though (other than the containers).

Yes, there's a Halfling in the inn at the first area in HoW that will take you to the TotLM. Be warned that if you decide to take him up on his offer, there's no returning until you complete it.

Coming to think of it, I agree with Coelocanth. What I did last playthrough was get the 6 badges, used them to unlock the thingy and then started the expansion areas but when I returned to the main game, the last two big fights were really easy. The expansion areas just throw XP at you and you'll be big time buffed when you come back. I've accidentally killed Poquelin a few times locking my party in that area because my party was too powerful. The same thing happened with a single character playthrough.