So, I am looking to start playing X4 again. My question is, how do the DLC's work? Do they intergrade well in to an already existing save? Or do you need to start a new game for them?

Also, if I am only able to get one or two of them, witch of the current ones would people recommend I get? Witch ones add more to the game?

I think it is solely up to preference. All of them add new sectors, ships, and missions. All of them except avarice add new weapons (unless you count the yacht's special gun). Can't speak to the integration for existing saves - I would imagine they would. You certainly wouldn't be able to take them back off though.

Pretty much all of them add about the same content and the only real difference is the missions, so I would pick based on your preference for races/ships. As far as the actual missions go I liked Avarice and Terrans the best. Boron is just okay, and the Split campaign is lacking, costs an absolutely obscene amount of money to do and also gives no rewards other than a faction status change.

As far as ships go, Terran ships are basically the best in the game but use a different supply chain, Boron are fast and well shielded but expensive, Split have a lot of guns. Avarice's are good and novel (the L has a lot of unique properties) but again they are the only DLC that does not come with actual new weapons.

Just download them and tell the installer where the game directory is, if it is something other than the default. Yes, they integrate well and add to the game immersion, imo. No, you need not start a new game, but you also can't go bac, load the saves in a version where the respetive DLCs are deactivated. So, best keep copies from saves pre-DLC? Maybe buy them in order of release date, that is Splits and Terrans, then Pirates and last Boron. The Boron storyline changes on game aspects.

Have fun:-)

Split Vandetta brings 3 new factions and plenty of sectors to up north of base game (including Xenon sectors) so I would say that is good one.
Cradle of Humanity expands galaxy to west and brings decent amount of sectors + 3 new factions so that is also good one.
Tides of Avarice brings only 7 new sectors + 2 factions but they also introduce recycling. That is more pirate DLC but depending how worthy you count recycling you may want have that.
Kingdom End brings Boron and their content. If you feel Borons are important faction in your playstyle then for sure go for it.

You don't need go in order if not want. My friend have played so far Split and Avarice but not yet Cradle nor Kingdom End.
I have went in order so far but haven't yet started Kingdom End (still running 5.10HF3b).