Once you are cleared for the approach, on the LOC, and above G/S, your altitude setting will likely be at the previously cleared altitude. That altitude is no longer applicable, though, once established and cleared.
IMO, at that time you should consciously reset the MCP altitude; it could be either the Missed Approach Altitude, the MDA, or the min altitude for "Stabilized Approach" per your SOP. Our SOP has us set the Missed Approach altitude AFTER the G/S is captured, so I would recommend the "Stabilized Approach" altitude until the G/S is captured. That will give you a level-off command if you do not get to the G/S in time, as well as prevent the early altitude capture. Then you can make the go-around decision.
If the G/S is captured prior to min altitude, call "Set Missed Approach" and the Landing Checklist (if not already done).