Well that all realy depends on how soon you want to drive it. If the car is a project car and probably won't see the road for a few months and there is no real risk of sombody stealing it or damaging it there is no hurry.
But if you want to drive it A.S.A.P. then you probably should do it as soon as you get the car.
I'm not sure if you can do it befor you get the car unless you already know the V.I.N. number and plate number the car is going to have.
You can't license the car without insurance so you need to call them before hand. I think you can state the start date so they don't start charging you until that day. i.e. your picking the car up on Friday.
I believe that most companies will allow you to obtain a quote and allow you to start the policy on a specific date in advance.
You will need the VIN...otherwise the quote may not be enforcable if there is something different about the car.
For example, I purchased an XRS in May and they had no rates on file so they quote me on an LE because of value. Even after I picked up the car they still have no idea with the VIN...2 months later I get the bill $500 more than an LE. Bastages!
Remember to get it in writing if possible. I trust insurance companies about as much as a used car salesman.