What is the best known data structure for online dk-NNG?
I'm not familiar with dk-NNG, but have you tried a PH-Tree? It has excellent insertion times and very good kNN search.
I tested several scenarios with up to 40 dimension and $10^6$ and $10^7$ points. It usually competes with R*Tree (R-Star-Tree) for kNN-search, but has much better update performance. 

You could also try an R*tree, they are almost always faster than a standard R-Tree. An implementation in Java can be found here.