I know that there are certain times to watch Torchwood alongside Doctor Who (ie season one finale coincides with the start of "Utopia") but I'm just wondering is there certain times to watch The Sarah Jane Adventures? Or do they not tie in together at all?
The SJA series begins at some point after the events of School Reunion but before the events of The Stolen Earth / Journey's End. She explains that the K-9 that appears (occasionally - bit of another story there) in the series is the repaired one The Doctor left her after School Reunion, and her new Sonic Lipstick was included in a small panel on his side. When Sarah Jane appears in that second adventure, she has already adopted Luke and gained access to Mr. Smith the computer. It may be safe to assume that the entire first series takes place before TSE/JE.
The series takes place during a period of time between The Doctor's tenth and eleventh regenerations, as both appear on the show.
There are no specific episodes of one series that tie directly to those of the other, so there's no "you must watch this first" situations.
- The Sarah Jane pilot is between Doctor Who 2006 Christmas Special and the start of Season 3.
- Sarah Jane season 1 is between Doctor Who season 3 and the 2007 Christmas Special.
- Sarah Jane season 2 is between Doctor Who season 4 and the 2008 Christmas Special.
- Sarah Jane season 3 is during the Doctor Who specials that followed season 4. Most are between Planet of the Dead and The Waters of Mars, but the last story of Sarah Jane season 3 is between The Waters of Mars and The End of Time.
- Sarah Jane season 4 is between Doctor Who season 5 and the 2010 Christmas Special.
- Sarah Jane season 5 is between Doctor Who season 6 and the 2011 Christmas Special.
However, there isn't much need to coordinate watching the two shows, there are only a few cross references between them.
- Sarah Jane meets the 10th Doctor in the Doctor Who season 2 episode School Reunion. This is before the Sarah Jane pilot Invasion of the Bane.
- In the first Sarah Jane story, Revenge of the Slitheen, Sarah Jane encounters the Slitheen who were introduced in the 9th Doctor (season 1) episodes Aliens of London and World War Three*.
- Between seasons 1 and 2 of Sarah Jane, Sarah Jane joins the 10th Doctor in Journey's End, the final episode of Doctor Who season 4.
- The Last Sontaran, the first story of Sarah Jane season 2, features a survivor of the Sontaran force from the Doctor Who season 4 episode The Poison Sky
- Enemy of the Bane, the last story of Sarah Jane season 2, includes the final appearance of Brigadier Sir Alastair Lethbridge-Stewart played by Nicholas Courtney. In The Wedding of River Song (the last episode of Doctor Who season 6), the 11th Doctor is told of the death of the Brigadier.
- The 10th Doctor appears in The Wedding of Sarah Jane Smith (the 3rd story of Sarah Jane season 3).
- Before regenerating, the 10th Doctor says goodbye to Sarah Jane in The End of Time (the last of the specials between Doctor Who seasons 4 and 5).
- The 11th Doctor appears in The Death of the Doctor (the 3rd story of Sarah Jane season 4).
- The Impossible Astronaut, the first episode of Doctor Who season 6 was dedicated to Elizabeth Sladen who played Sarah Jane. Elizabeth had died 4 days earlier while filming Sarah Jane season 5 (the three completed stories of Sarah Jane season 5 were broadcast after the end of Doctor Who season 6).