Setting of missed APP ALT.

[airbond]

Question for Boeing pilots.

On straight in non-precision approaches when do you set the missed approach altitude?
Upon leaving final approach fix? or when reaching ALT HOLD at MDA?

For example approach starts at 3000 ft. Missed approach ALT is 4000ft.
Upen leaving 3000 in V/S descent, do you then set 4000?
OR
Set MDA 500ft, leaving 3000 in V/S, and when capturing 500 in ALT HOLD then set missed approach alt of 4000.