You can start it whenever. It's a step up in difficulty, but it's honestly not all that much more until the final few quests. If it feels like too much, you can always just teleport back to the base map.

I think it's more fun to wait with the DLC until the end of the main game.

However, although the DLC is more difficult, it may end up being easier to search the DLC area for "Blueglam" as early as possible (with a map from the DLC merchants if necessary) in order to get the DLC weapons early. These are much stronger and easier to get as the best weapons from the main game.

For me, this feels almost like cheating, but it is an option.

The best time to Start Frozen Wilds is when the main story sends you to the Grave Hoard (NE part of the map where the entrance to Frozen Wilds is). Instead of going into the Grave Hoard, simply keep on going up the canyon. It sparks some great commentary from Sylens. Hebalon is right, the Banuk weapons and coils are much better, but you have to work for them.
Get some Banuk gear, then go back to the main story. You can always come back to Banuk lands after you're strong enough to take on Fireclaws and Frostclaws. It also provides you with some 'completely different' landscape if you get tired of Carja dust.

This question keeps popping up every few months or so. Honestly there is no "best" time to start the Frozen Wilds content. A lot of players say it's best to start when you go to the Grave-Hoard, although that's simply because the entrance to the Frozen Wilds content is just past the Grave-Hoard entrance. But so long as you go just past the Grave-Hoard entrance to unlock the campfire you can simply quick travel back at any time. From a story viewpoint it's generally best to wait until completing Makers End at least so that certain events and encounters in Frozen Wilds make sense, which is another reason why many say it's best to go when doing the Grave-Hoard as that is the quest that follows on from Makers End.

Once you have acquired the Frozen Wilds intro quest you can travel there at any time. There are three NPC's placed in the game that will give you the intro quest:
Yariki who is found just north of the Grave-Hoard
Ohtur who is found at Daytower
Rhavid who is found on the main roadside as you approach Meridian
Or you can ignore those three and simply walk up into the Cut, once you arrive at Song's Edge (the main Banuk camp) you'll automatically receive the intro quest.

Note that you can only get the intro quest from one of the three NPC's, whichever one you speak to first to acquire the intro quest the game will automatically remove the other two!

Be aware that the Frozen Wilds content is balanced around a player that is level 30+ so if you're lower than that you might want to wait until you gain more levels. You'll also want decent gear, preferably Shadow weapon variants and outfits.

As you make your way up to Song's Edge you'll encounter a Scorcher (one of the new machines only found in the Cut). If you find this encounter to be too difficult then simply retreat and return to the base game so as to gain some more levels and gear.

Frozen Wilds has some of the best content in the game. You can purchase the three Banuk bows which are regarded as the most powerful bows available in the game (Banuk Champion Bow, Banuk Powershot Bow & Banuk Striker Bow) as well as three new outfits (Nora Silent Hunter Master, Carja Blazon Master & Banuk Ice Hunter Master). The three Banuk bows and the three Master outfits can only be purchased with Bluegleam, a special type of "currency" found only in the Cut. You can also obtain three brand new weapons (Forgefire, Icerail & Stormslinger) each of which can be upgraded to a more powerful version via quests. There's also 11 unique modifications (6 weapon coils & 5 outfit weaves) with each of the weapon coils being optimal for a specific weapon type.

One of the side quests in Frozen Wilds will unlock modification slots on Aloy's melee weapons (one slot on Aloy's Spear and two slots on Sylens' Lance). Don't worry about acquiring Sylens' Lance first because the two modifications slots will automatically be unlocked so long as you've completed the side quest.

There's exactly 100 Bluegleam available in a single playthrough which is exactly the number needed to purchase all of the unique equipment and treasure boxes available in the Cut. The Mystery Boxes Merchant in Meridian sells four Bluegleam Boxes, each one contains a single Bluegleam and requires a specific machine lens to purchase. The remaining 96 Bluegleam are found and/or acquired in the Cut. You can purchase a Bluegleam Map from any Bluegleam Merchant which will then mark approximate locations of Bluegleam found in the wild.

Sorry for the amount of info, but hopefully this will help to inform you as to when it's best to go to the Frozen Wilds. As a minimum, complete the Makers End quest, or better would be to complete the Grave-Hoard quest, while also being at least level 30 or higher. As others have said, if you find the Frozen Wilds content a little too difficult simply return to the base game to gain some more levels and better gear.

If you want to know more, or have further questions, you can simply check out the Horizon Wiki:
https://horizon.fandom.com/wiki/Horizon_Wiki