It depends.
If the island is close and uncontested, and the land is good enough for the colony to grow by itself (support its own garrison and settlers, build its own improvements), feel free to start early. Almost no logistical cost here.
If the island is farther away, needs more terraforming or doesn't produce enough shields for a colony to fend for itself, you should delay until your mainland is strong enough to back it (support ships, garrisons and settlers, build caravans, rush improvements).
There is a third option--snatching AI colonies. Very cost effective. You get at least partially improved land and a ready population base. If you subvert the city with a diplomat you also get units. Sell all improvements and demolish the AI city if it's placed badly and re-home any useful units to the new colony (build it before completely starving the AI city down).
It boils down to what you need the colony for. At the start of the game you want good land to grow your civ and more trade. Near the end you might want different things--maybe more cities to build the spaceship parts quicker, or a forward defense line (unsinkable carrier), or you might just want to deny the AI that particular island, so it can't nuke you from it.
