How do you start Crossworlds?
 

Sorry if this seems like an odd question, I'm confusing myself I think. I'm going to start another run through Armoured princess, however I'd like access to all the new units etc. from Crossworlds. Do I just start an "Orcs on the March" campaign? Or is that for after I finish Armoured Princess?

Just start with Orcs on the March campaign. Orcs on the March is "nearly" identical to Armored Princess but has a lot of subtle changes and such.

I wouldn't bother with the Armored Princess campaign at all, since Crossworlds is nearly a super-set of it.