I wasn't a big Blade fan (I thought it was done better than Faiz and think it's more tolerable than Hibiki), but I watched Missing Ace before I completed the series.
I cheated a bit. I put off watching Blade after episode 36 or so, watched the finale, saw the movie, finished the series. Since I wasn't into Blade I didn't buy the rest for a while, but I eventually did just to finish it. Not ready to get back into the series (and since the movie doesn't count at all) I watched the movie first -- I liked it! For not liking the show too much and not having high hopes after finding Episode Final so-so and HATING Paradise Lost, I was pretty surprised, and it got my interest up enough to finish the rest of the series in enjoyment. I kind of wish the movie did count, because it would be a unique ending -- the "old" guys coming back and kicking ass.
So, I don't really think it matters when you watch it. It's not in the continuity, plus if you lived in Japan you would have gone to see it in the theaters around episode 20-something!