I use 15LB dumbbell, at what point should I increase the weight to 20LB? After I am able to do 4 set at 14 reps each at ease or what? Once I do, what if it's extremetly difficult to do 14 reps on the first set of 20LB?

Typically, if you can do 10-12 reps it's time to bump up your weight. You should not be able to do as many reps of a higher weight. You do as many as you can and eventually you'll be able to do more and more.

It all depends on several variables: what are your goals; what exercise(s) are you doing with the DBs; are you using proper techniques; etc. So, I'd need a little more info to give a more complete answer.