ASAP! My husband got me a lightweight when I was an intern, and I was SO THANKFUL. On my first show I was stuck with a huge head squeezer, so it was fantastic to have my own for my second show.
As bex mentioned already, it can make things easier, since a lot of companies don't carry a bunch of lightweight headsets. The only thing to be careful about is if you're on wireless, and the packs aren't specifically assigned, you will want want to unplug your headset at the end of each night. Several years back my company didn't label the wireless packs, and I didn't like taking the chance that my personal headset would end up on someone else's head. So, after you turn your pack off, unplug your headset and store it until the next show.
Of course, if you're on wired, then it doesn't matter.