While I'm not really a fan of short stories or novellas, and I rarely read them even if they are part of my favourite series or companions to my favourite books, I picked up The Assassin's Blade before I read the masterpiece that is Queen of Shadows. I was told that The Assassin's Blade is an essential read for the Throne of Glass series, especially if you're about to read the fourth book. I 100% agree. The Assassin's Blade provides backstory for Celaena and shows what her life was like before she was sent to the mines, and why she was enslaved in the first place.
I don't have anything substantial to say about this book because, like I said, it's a bunch of novellas that show different moments and parts of Celaena's life before she was enslaved and, later, freed at the beginning of Throne of Glass. It was amazing to get some backstory on the character that I have come to love, and also to meet various other characters like Sam, Arobynn, and Lysandra, all of which are important later on in the series. I imagine certain other characters are going to show up later on as well, so I'll be keeping an eye out for them.
As far as reading order goes, I would recommend reading The Assassin's Blade before Heir of Fire. I personally don't think it matters if you read it before or after either Throne of Glass or Crown of Midnight, although some trustworthy people think it would be best to start the series off with The Assassin's Blade. But as long as you read it before Queen of Shadows, I don't think you can go particularly wrong.