I'm posting this here just in case anyone else has trouble getting their DLC working in game.
You need to enter the code on the BioWare social site (assumed you knew that, but just in case). You can do this either directly at the site or by clicking the Redeem Codes button on the DLC page in the game (it just takes you to the site anyway). It took several tries with each code before I got the green message saying it was accepted.
Then (and this is what I failed to do since I wasn't thinking) you need to load the game up and click on the Log In button on the bottom left of the screen. This will connect your game to your BioWare social site account and find the DLC you have available for download. It started downloading them for me automatically, but didn't show them at all until I had logged into the site through the game. I still haven't registered the game on the Bio Social site but I did have it registered on the EA site (don't think this matters, but mentioning it just in case).
The CE items and armor are tiny downloads, the Wardens Keep is 330mb (downloaded overnight for me on dial-up), and the Stone Prisoner is 550mb or so.