With DD, we were done with the room by 29-32 weeks

, so I'd say we started at about 24 weeks (soon after finding out she is a girl).
With DS,
on the day I found out I was expecting, I bought the stuffed animal that matched the nursery bedding set I knew I was going to get whether he was a boy or girl. We picked out the furniture when I was about 28 weeks along and did not complete his room until I was 38 weeks along (which is waiting to the last minute for me).