When I was pregnant with my first I started it sometime in the early second trimester I believe. Then as time goes you can add/remove things as stuff changes. You never know when people will want to buy things, but the general rule of thumb is when the baby shower is started to be planned, that's when you want to have all the registry stuff done with.
I started mine around 6 months. I had my baby shower at 7 months... but I guess every gal is different! Start it now if you want... no harm in that!
I waited until the second trimester so that I would be out of the danger zone for a miscarriage.