I would start sometime before the age of 1. Before they figure out it can be scarry. I didn't do that with my daughter and at age3 she was horrible and so I put her in swimming lessons and she would wrap her legs around her teacher and claw her. Kicking myself in the butt that I didn't have her more comfortable with swimming before hand.
Another piece of advise I tried this and had really good luck. I taught my daughter how to ride her bike without training wheels at 3.5 years old. It took me like 2 hours in one day. I did this before she realized what happens when one falls off a bike and before she grew scarred of trying. I know it seems really young but I swear if I had waited til she was 5 or 6 she would have been a chicken butt and not tried. (that's how most kids I've seen are)
So now I'm all about trying things earlier...I think the longer you go without knowing how the more scared one is. My dad's girlfriend is paranoid of water, won't step foot in a pool or lake because she doesn't know how to swim. And now it's like to late she refuses to try. So she will go the rest of her life hating water.
I'm a think ahead type of person and you are really smart for being like that too. Here's a few things you'll need to think ahead of too that noone tells you about.-not trying to sound like a know it all!
preschool- think ahead and have him signed up about a year ahead of time with most preschool's. You can't wait til last minute
kindergarten- I had to have my daughter signed up 6mos. before school started, and because I opted for the full day program I had to have my first payment to hold our spot 6mos. prior they also need a preKindergarten screening before kindergarten mandaorty by the state which you can do with your school dist. or pedatrician anytime after 3.5 years old.
sports programs-I usually have to have my daughter signed up months before hand too or they fill up
Yearly well child checkup's with the doctor I usually have to call and make the appointment 3 weeks before I want the appt. or I can't get in til after her birthday... only because these appointments are differnet and longer so they schedule them differently
I know your son isn't even here yet and it seems like ages away before you'll need this info but I wish someone would have told me about some of this. Congrats on being pregnant!