Reference waiting for ice to build up prior to operating the wing boots, Fairchild amended their AFM to boots on at first sign of ice. Embraer recommends on E120 to go to level 3 de-icing on the ice warning, and have modified the cycle on the de-ice boots to heavy, ie 1 min cycles.
The possible risk to waiting for the ice to build up is that ice will form over the boot above its inflation height and there fore can't be removed.
Where I fly, the conditions are not as harsh as Europe or USA, and the MSA's are quite low, but icing can be a problem in monsoonal conditions. I normally climb or descend to get out of ice, as while you can keep all the de-iced bits clean, the extra weight of the ice you are carrying on the airframe reduces performance and increases fuel burn