Start young! But keep your expectations reasonable. With puppies I recommend marker training and Michael Ellis has a great DVD on this. I started at 8 weeks with food training and my puppy knew eye contact, sit down and a few others within a few minutes. Proofing will come with time as they develop. I would suggest formal obedience class around 4-6 months of age. My puppy is now 5 months and 1 week and she now has decent focus, listens and knows how things work with me and my household. It's much easier now because I trained her early on. Keep things simple and use the same word for a command. don't change "stay" with "wait" with "stop", "don't move", etc.
I would do a lot of marker training teaching her a marker word that signifies your approval like YES or a clicker and establish a bond. Once you do that, if you go into formal training it will proof what she knows and she won't be so "shocked" at training. She'll trust your guidance and if training collars or corrections are used, the trust and bond is already there.