You can form a squad at any time in the season. But, obviously, getting started before the first game of the season means you've got every opportunity to score points. Join late and you'll only score points from then onwards. This can of course be just as fun if you create a group with similar new-starters!
Make sure you have your squad ready at least an hour before the first game of the Premier League season. Thereafter, your deadline for making changes is 10.59am UK time every Saturday. All updates from that week take place at noon on Saturday. If you missed the deadline you will be scored based on your previous week's squad.