There is no hard and fast rule as to the best time to set up your company. However the earlier you set your business up, the sooner you can begin marketing your products and services.
Setting it up early will mean that your affairs are in order for when you start your first assignment. Once your company has been incorporated you will need to approach a bank to set up your company bank account. Setting up a bank account normally takes in the region of 3 weeks.
It will allow you adequate time to prepare your marketing materials, such as business cards and headed paper, and secure a domain name to match your chosen company name.