I add mine with about 10 minutes left in the boil. A fellow brewer I know prefers to add his post fermentation, this way he can control the sweetness to whatever level he wants. He boils the lactose in a small amount of water and adds it straight to his keg as the lactose mixture is cooling.
Another tip is to take several 6 oz samples of beer, boil up the lactose mixture and add different amounts to each beer sample. Once you find the level of sweetness you like, you can scale up the ratio to your batch size.