Welcome to the forums Bovver! :thumbsup:
If you are considering are the types of 3rd party HSF's that make use of a "backplate" then you definitely want to wait to assemble your rig, otherwise you'll have to remove your motherboard from the case in order to get the backplate installed for your 3rd party HSF.
If you are intending to use the type of 3rd party HSF that uses the same style of push-pins that the stock HSF uses then you can do that without disassembling your rig at a later date.
Typically the backplate HSF's perform better than the the push-pin ones, and are more expensive as well.