I did it with my last pg, can't remember when I started, but probably 6-7 weeks before DS was born. At the time just about everyone recommended it, from the Ob down to my acupuncturist. I used almond oil.
During DS's birth, I did ask the midwife to use a warm compress on my perineum around the time prior to DS crowning. Not sure what did/didn't work but all I ended up with was a very minor tear which required a stitch or two (I only pushed for 30 mins, so not sure if that can have an impact on the perineum's ability to stretch??). Can I add the small tear caused me no probs after the birth - I didn't feel it, and didn't need panadol or pain relief, so it must've been minor.
All in all, I reckon perineum massage is worth the time and effort. At the very least, it can't hurt to do it.