The sooner, the better. The basics to know is there are two types of waxes; sealants and carnauba wax. The short story is sealants last longer, and tend to leave a shiny finish. Carnauba waxes don't last as long, but leave a deep wet look. There are modern products that seem to blur the lines between the two.
Picky1, how much work are you looking for as far as upkeep? Some waxes require plenty of work, but have stellar results; others are extremely quick and simple, but don't have similar results.
I typically recommend Meguiars for people wanting to get into the fun of car detailing. Also, the recommendation of Optimum products is a very good one worth looking into.