Sorry about the delay in answering, for some reason this forum isn't notifying my when new posts are added to this thread.
Since the policy has your start and end dates right on it, and some of them can be printed out directly from the website, you could get them a month or so in advance or wait until the last minute. I usually get my insurance a couple of weeks in advance.
If your insurance company has a Mexican branch or affiliate that issues Mexican Liability or you need a separate document for their Comp coverage, ask them how long it will take to get a hard copy. You will need it if you have an accident, and possibly when you cross.
Like I said on my website, there are signs in the Banjercito listing the documents you will need and the steps to get your FMT and TIP's. One of the documents listed is insurance; even though it's not a law and I've never been asked for proof of insurance. Always be ready for the RCNC!!!