I've done both ways, flying for different operators.
I prefer the method of setting the altimeter to QNH/STD immediately after getting the clearance to altitude/FL.
The biggest benefit is that it makes it less probable to forget to change the setting, which can easily happen when waiting for TA/TL - which is something that can kill you, or easily cause a traffic conflict (had done a circle-to-land at 400ft agl myself due to forgetting to set the QNH)
I think this outweighs any potential problems of using the other method, i.e. setting the altimeter at TA/TL. Anyway, with modern jets climbing/descending at 3-4000ft/min, accurate altitude reading during climb/descent is not practical...