When should I start checking my gravity?

Not sure when to take my first gravity reading. I've been doing it after the wort is cooled and before I pitch, but it always seems to be lower than I want. Thats how I've always done extract, still haven't quite got the hang of all grain. Should I maybe be checking during the mash or during the boil to make sure I'm at where I want to be? Thanks.

You're doing it in the correct spot. Before you pitch and while it's cool. Make sure if it's not at 60F, you correct your reading accordingly. They are calibrated to 60F.

I use ProMash software, and it provides both a wort gravity, as well a pre-boil gravity (estimated by your chosen efficiency percentage), so I measure at both of those points...I'm pretty new to all-grain myself, so I'm still trying to get a good handle on my actual efficiency, evaporation rates, etc.

I like to check post sparge / pre boil, 10 min left in boil, and pre yeast pitch. Gives me an understanding of how things change in my process and an opportunity to tweak if needed to hit OG.

If you're having trouble meeting a projected OG, I'd suggest definitely taking a preboil SG. You would pull the sample, and take it and chill it in the freezer or in an ice bath (the hydrometer test jar in a pitcher of ice water works fine) and see where you're at.

If your preboil OG is low, then you've got the chance to fix it by adding some DME then and/or adjusting your hopping. You'd also know where the problem is. If lautering efficiency is the issue, changing up the sparging can help. Without a preboil Sg, though, you don't know if you've got problems with conversion, lautering, etc.

Should have added that I use a refractometer as I wouldn't do a 10 minute boil check if I only had access to a hydrometer. Post mash and post boil would be my routine if I didn't have the refractometer. I'm a bit of a geek for the numbers however, as you can make great beer without a reading if your process is solid!

Awesome, thanks for all the great info.