Ideally you should assign story points to your user stories as you create them. So all user stories in the backlog should have story points assigned. Please note that assigning story points should be a quick, simple process. You should be estimating or guesstimating to the best of your ability.
Having said the above, in practice, some Agile Teams might decide to assign story points to their user stories prior to starting a Sprint, so in the Sprint Planning session.