15How to craft it
AnvilSet bonus
The bonus applies while the helmet, chestpiece and leggings are all worn together.
where it sits
Lead is the alternate to Iron, and a world generates one or the other, so you never get to choose. Landing on Lead puts you a hair ahead, since this version is very slightly sturdier than the iron one, but the two play identically and nobody should be hauling bars across worlds over the difference.
when to wear it
This is the second stop in the early game, after whatever wood or copper you slapped together and before silver or tungsten. Craft it while you are still cutting your first tunnel, wear it through the opening trips underground, and expect to be out of it well before the Underworld. Finishing all three parts adds a small bonus over wearing them loose, which is worth one more ore run given you are already down there.
spending the ore
Lead bars are also what the anvil, the buckets, the chains and most of the early utility crafting want, so do not smelt your entire first haul into a chestplate. Pickaxe and anvil first, armor with whatever is left, and the rest of the set will catch up on the next trip.