I'd admire my new trophy first. Then I'd take her into training and just see what she does for a while. Exercise all the moves, see how they're animated, how the hitboxes work, the damage output, any easy to discover combos, etc. I'd also pause just to see how many different expressions she has while doing stuff... I love noticing when characters have different expressions during moves. Next, I might do a few random computer matches just to see what works on active AI. Plus it would officially get her on my stats and moving her way on up the ranks of my most used. I wouldn't do that for too long though because the best way to officially introduce a new character is take them into Classic and get that other trophy. I'd do it on 7.0 since that's the standard I set for all new characters since doing the challenge. Then I'd take her into All-Star on Hard to get that other trophy. After that, she'd officially be part of the team and most of the rest of what I'd do is many many offline matches against computers and with friends offline and online. I'd probably get some fun pics of her during this time by pausing during comp matches. Play against Fox and Falco and set up fun scenes. It would be a while of offline or just with friends stuff before I took her onto FG.
If Wolf came with her, I'd do all this stuff for him first. For instance, I'd do Classic with him, and then Classic with her, then All Star with him, and All Star with her. So not like everything with Wolf and then everything with Krystal. Can you imagine holding of on using Krystal for that long? Wolf would be first for me because he's the vet and the third member of the Star Fox representation, Krystal second because I like to save the big rewards for last and she's the newcomer and 4th rep.
Also, if I feel there's a proper order to how I should approach the new DLC, I do it because I'm funny that way. For instance, Lucas was announced first so I did Classic with him first, Roy was second because he was the other vet that got announced later, and Ryu third because he was the unique newcomer. I suppose the order the characters are on the character select screen worked out with how I perceived this order, heh. So even if Krystal came with some other character besides Wolf as DLC, but I felt that other character was "first", I'd play them first probably. I wont know that sort of thing until it's introduced to me however.
Sure is a process for me I guess. Just thinking about it makes me happy though. I love the process and checking everything out in just the right way.