Well, there's about 100 ways to do everything in brewing, so it's really a matter of what works best for you. If I was less concerned about subtler flavors in the finished beer and only wanted chocolate for the most part, then adding it at bottling as part of the priming simple syrup would give the most pronounced flavor, as it does when adding flavor extracts like in a raspberry wheat ale or something like that. But if I wanted a more "natural" flavor that makes chocolate only a part of the whole (allowing more of the roasted, coffee and caramel qualities to shine through) then I would add it earlier, such as in the mash, boil or as a dry hop in the secondary.
Really the only rule I would say is not adding too much of anything. More flavor can be added at bottling with a chocolate priming syrup, for instance, if a more pronounced flavor is desired than was produced by the other methods, but once it's in there it's impossible to take away.