I started months ago! I go to Once Upon A Child and look for new in the box toys. It's an awesome way to start shopping early! I've already gotten brand new in the box Lego sets for an 1/4 of the price in the store.
I always start early. In fact when Christmas gift sets are on clearance is when it starts for me (often just a couple weeks after). Yesterday I ordered about $80 in clearance stuff from toyrus and that got me 10 items and free shipping. I buy at least one gift per kid (I only have 2) every other weekend when I get paid. Usually (at least for the past 5 years) that means I am done shopping by Thanksgiving and may only see one or two awesome deals I can't pass up when the sales start.