It really just depends on comfort level of where you live. We've always put up the full graveyard early October. We've never had anything taken - but each year I think, "this is the year". We don't put anything out that is expensive, although any of our graveyard stuff taken would be heart breaking since we've made it all.
Halloweenrocks08 - I'm in Colorado too. We've had years where you could barely see the headstones because of the snow
The biggest thing here is making sure everything is secure because of the wind.
Our graveyard is just too much work to wait until last minute to put up. The mausoleum alone takes up quite a bit of time. The neighbors like to see what we are going to add, etc.
And like Cassie, the next day it is gone!