Hello.
The answer really depends on what the particular needs of the service are, i.e. what is the proper time to subscribe and unsubscribe as seen from what is appropriate for the application.I think that the way you propose (with OnStart and OnStop) is a good way as long as you have all the information already available in OnStart, and your service needs the subscription active for as long as the service is running. No problem here.
Just as a note, the subscriptions created in EasyDAClient "survive" any communication disruptions or disconnections from the target OPC server, so you do not have to (and should) attempt to put in a logic for recovery actions. The component does the recovery automatically, and there are configurable recovery periods for various reasons of disconnection.
Best regards