If a woman makes Kiddush in a Sukkah on the first night of Sukkot, when does she recite Shehecheyanu - when lighting candles, during kiddush or both?

Both. If a man makes kidush in the house (for instance if it is raining) and then, when the rain stops he goes to eat in the sukkah, he will make a shehecheyanu at kiddush for the day, and one later for the sukkah. Same with a woman.