Hm, not really, but it can't hurt playing them in release order.

LR builds on a number of things established in OWB and HH, meaning that LR should be the last you play, ideally right before you enter the endgame phase of the main game.

DM you can play whenever you feel like it.

As Nergal says, the best order to play them in is DM, HH, OWB and LR, but it's not absolutely required or anything. You'll just appreciate some details more. Definitely do save LR for the end, however, because a) it's really tough and b) it is very much the end of the story; in fact, I felt the proper ending of F:NV itself was very anti-climactic after finishing LR.