Cryo converts retained austenite to martensite. So it can be good for steels that retain austenite such as high alloy and stainless.
Some die steels such as D2 are designed to retain austenite to reduce dimensional changes (martensite is less dense, so hard tools grow). We don't care about little dimensional changes in a knife, we want martensite. Dimensional changes in a gear is bad.
It probably should be done as part of the quench. If you wait until after temper, much of the austenite will have stabilized and won't convert.
You should always temper after the process to temper new martensite.
It increases the hardness and strength of the steels that benefit from it by increasing martensite, but it makes them less ductile.
There are better steels than D2 for rough users. The high carbide content of D2 lends itself to precision cutters where edge loss is from abrasion rather than gross impact. D2's relatively high toughness at high hardness and high hardenability also helps this steel in thin edge applications, reducing edge roll. For these reasons I feel D2 is a good steel for hard thin precision cutters where abrasion resistance is desired. Like on a skinning knife, for example. And it is that kind of knife where the tradeoffs of toughness for hardness and strength where you should employ cryo. As part of the quench, not after the fact.
Dry ice mixed with acetone is a popular way to do this. The temperature is cold enough to achieve most of the conversion and I think there is some evidence that the less drastic chill compared to liquid nitrogen may be beneficial with a blade that did not receive even a snap temper.
*ducks head and runs away from incoming cryo debate*