Depends on what the checklist contains?
If it has a reference to setting and checking approach altimeter subscales, it is normally done when cleared to an altitude/height, with the caveat that if the TL (NB NOT 'TransitionAltitude') is very low, it may be prudent to review the contents before it is too late!
I guess therefore in the USA, around FL 190 is normal??, in my experience in Europe, it varies with ATC clearance. Into CDG it can be as late as 20 mile final (as you can be still at a F/level) or it can be as high as Fl 200+, and I HAVE been cleared to an altitude from as high as F/L 370! In that case 'airmanship rules' apply
