When using Finn's ability, add a blank or add a focus for a strain, do you get to roll dice first and then add? Or do you have to choose and then roll dice?

Example: you equip him with heroic, if you roll blanks you'll want to add the blank to get the reroll. If you roll one or more hits or focus you'll want to add the focus, assuming you have the focus token.

Or do you have to pick before rolling and gamble a bit?

It’s a modification. So during your modify dice step after you roll.

As @JBFancourt said, adding a dice result is a dice modification. It would therefore happen during the "modify results" step of your die roll (whether on attack or defense). It is at that time that you choose which modifications you want to use, in what order... not before you roll. So, you roll the dice, your opponent has an opportunity to modify results, then you make your choices. In your example, you would probably want to add your blank result BEFORE rolling for Heroic.

Another point of order for Finn that you might not realize is, as currently written, when Finn defends, he can add a focus result at the cost of a Strain token... but given the wording of how Strain works, it immediately gets removed "after defending". The only way that Strain (currently) stays on Finn is when he adds a focus result during his attack .