ICAO Manual of RTF says
The word "MAYDAY" spoken at the start identifies a distress message, and the words "PAN PAN" spoken at the start identifies an urgency message. The words "MAYDAY or "PAN PAN", as appropriate, should preferably be spoken three times at the start of the initial distress or urgency call.
This means that you should use the prefix when you declare the emergency. There have been many examples where pilots have not used these prefixes (for a variety of reasons) and ATC consequently have not fully recognised the seriousness of the situation.