On Windows, our current recommended approach is to:
1) put the DLLS next to the executable that needs them
2) put the DLLS in a directory that is on your PATH environment variable.
By default, Anaconda and Miniconda add two directories to the path (the root directory and %ROOT% / Scripts). You could either put the dlls in that directory or add the directory the dlls are located to your PATH.
-Travis