This answer (originally elsewhere, later merged here) to a question about melacha before havdalah notes that in that situation one should say "baruch hamavdil bein kodesh l'chol" first. Does that apply to lighting the havdalah candle? I have never learned that women who don't daven (pray) ma'ariv, but who make havdalah themselves, should do anything special first before lighting the candle, but isn't lighting the candle melacha? Should a woman who makes her own havdalah always say "baruch..." first and then proceed with havdalah? Or does melacha that is required for havdalah have some special status that makes this not a concern?
Yes. Women should formally end shabbat before lighting a havdala candle after shabbat has ended, i.e. after nightfall on Saturday.
First of all, women certainly can daven maariv and say attah chonantanu.
Second, the Rama in OC 299:10 quotes an opinion that the only reason labor is forbidden before havdala is lest one forget to say havdala. Accordingly, one could do non-labor intensive work immediately after shabbat, including lighting a candle. The Rama suggests that this opinion is why many are lenient regarding the prohibition on labor before havdalah. However, he and many later poskim hold that the halacha should not be in accordance with this view, and it would thus be proper to recite maariv or 'baruch hamavdil' before lighting the havdala candle.
Additionally, the Be'er Heitiv (on the page there) advocates teaching the women (who at the time were largely uneducated) to refrain from lighting candles until formally ending shabbat.
Say "Baruch HaMavdil bein Kodesh LeChol" -- blessed is He who separates between sacred and ordinary. As long as it's late enough after sunset, one can then do shabbos-prohibited activity, even before Havdalah.
It's commonly stated (though not necessarily historically validated) that Rabbi Levi Yitzchak of Berditchev composed a Yiddish post-shabbos prayer, "Got fun Avraham", in part to serve this purpose, as it contains the phrase az dir lieber shabbos koidesh get aveck ... ("as the holy Sabbath departs ...")
The Chayei Adam feels it is fitting, even after saying Baruch HaMavdil, that "no man of Israel kindle flame before havdalah"; I think this is a look/feel thing, not a technical halachic obligation.
It's also recommended to do havdalah as soon as possible when you're ready to end shabbos. Firstly we don't delay mitzvahs; more importantly, you're not allowed to eat/drink anything (other than water) once the time for Havdalah has come, until you've made Havdalah. I've seen situations where people waited and waited around for havdalah and started snacking in the meantime (which they really shouldn't do).