The sooner the better i say!
It puts everything into perspective - OMG I"M HAVING A BABY! hehehe

A friend of mine finished up work at 37 weeks, and was going to set up bubs room then. She finished on the friday, on monday bub was born! Eeek! She didn't have the lino in, the cot put up, no curtains - nothing!! hahaha. When her waters broke she freaked out. The baby is now 9 weeks old and the room still looks like shambles (definately don't have time for that stuff once bub is born).

With dd we didn't move into our home until i was 36 weeks, so i didn't really have a choice.

Totally up to you tho