I start to teach my youngsters to wear a cover at around 1-2 years of age in preparation for them being properly covered when they come into work as a 3 or 4-year-old.
I choose not to cover them earlier because they haven't had as much handling and also because my youngsters tend to chew on and destroy their covers. I do, however, make sure my horses always have good shelter, especially in summer and winter, and that they have a good layer of muscle and fat to keep them insulated in colder weather.