At school, not earlier
(except maybe for the exceptional case of inheriting a wand)
In addition to the wording of the Hogwarts Letter which kind of suggests that kids should get their wand when they enter school together with a dozen other things (as stated in another answer), the Decree for the Reasonable Restriction of Underage Sorcery (first mentioned in book 2) factually rules out possession of a wand prior to going to school. In the strictest sense, it actually rules out taking wands home, too (which however is demonstrably not enforced in the books, the story would be pretty boring otherwise!).
How does the decree do that? It doesn't even speak of wands!
Wands are powerful and possibly dangerous items that are under strict regulation, not much unlike a firearm in the real world. One could even argue that a wand is substantially more dangerous than a gun.
In order to own a regulated item, a permission (often involving a certain conduct and proof of expertise) and a legitimate reason is needed. To explain on the importance and the implications of the latter, consider this example:
Assume that you are a hunter or a sport shooter. This means you have a legitimate reason for owning a gun. If you have this gun at home, and a burglar attacks you at night, and you shoot him, then this is a somewhat bad situation, since killing people is generally not looked upon favourably by the law. However, you demonstrably had the gun for a different, legitimate reason. The fact that you shot someone in self defense is tragic (especially for the burglar), but mostly irrelevant. You have a good chance of getting out of that without a conviction on the premise of self-defense.
Now consider the same situation, but you used a gun that you bought in the street. No difference?
Oh how wrong you are. Not only is the purchase and the ownership as such a felony, but worse: since you had no legitimate (non-murder) reason to own this gun, it must be concluded that killing someone was your intent from the beginning. After all, if not to kill someone, what do you need a gun for. Same situation, and same numer of deaths, but this time you are practically guaranteed to get a sentence.
The one and only important difference that turns the entire situation around are the words legitimate reason.
The Decree for the Reasonable Restriction of Underage Sorcery bans the use of underage magic outside of school. One may rightfully consider "before school" being a case of "outside school".
If underage wizards and witches are not allowed to do magic outside school, they consequently have no legitimate reason to own a wand.
This is further confirmed by Hagrid in the first book who, having been expelled from Hogwarts before graduating, mentions that he actually isn't allowed to have a wand (which is why he is hiding it inside an umbrella).
Since he did not finish school (having failed the "conduct" precondition), he does not have the required expertise to excercise magic, and therefore no legitimation to own a wand.
I am obviously assuming EU standards rather than e.g. US standards for gun control here. Which means you cannot just buy a gun because you feel like it.
I deem this a legitimate assumption seeing how the Harry Potter stories are located in the UK, and wand control laws would arguably not be much different, so that is a suitable comparison.