Remember that Big O notation is defined such that there exists some x≥x₀ for which some function |f(x)|≤εg(x) for all such x.
The problem with the Harvey & van der Hoeven (2019) algorithm is that the x₀ involved is quite large. Therefore, for most inputs, their algorithm gives a way to multiply integers inefficiently. For very large, numbers, though, the algorithm does give an O(n log n) algorithm.
But how big are those numbers? David Harvey, one of the authors states:
The new algorithm is not really practical in its current form, because the proof given in our paper only works for ludicrously large numbers. Even if each digit was written on a hydrogen atom, there would not be nearly enough room available in the observable universe to write them down.
On the other hand, we are hopeful that with further refinements, the algorithm might become practical for numbers with merely billions or trillions of digits. If so, it may well become an indispensable tool in the computational mathematician's arsenal.
Therefore, if you are serious about your stated goal---multiplying big numbers quickly---this algorithm is not the way you should go about doing it.