MATS PT 1 states that ATC should pass the QFE (unless it is known that an operator uses QNH) at a convenient time before the aircraft is on final approach or before joining the visual circuit to land.
It does not really matter which you select and when, but I would advise that when flying in Controlled Airspace you ensure that you are flying in compliance with your clearance. This is particuarly important at airfields where they may be a number of mbs difference between QNH and QFE.