We started doing it at around five months. We waited until Sophie had all of her shots (our next door neighbors don't seem to take the best care of their dogs and I didn't want to risk it). Plus, we got her in December and it's been snowy and cold and she's only 3.2 lbs at 5 months, so we didn't even have clothes or a harness to fit her for the first few months!
It took about a week and a visit with friends who had dogs for her to "get" going outside. We're still in the process of housetraining. I only leave her a pad at night, which she uses from time to time. Otherwise, if we're gone for 3-5 hours she's in her pen without a pad and then we take her out when we get home.
She loves walking around the neighborhood now and it's a nice way to get some exercise and get some of her energy out
