I have a market-ready product. When do I form a company?

You will want to incorporate prior to your enterprise incurring any substantial risks and obligations, or where required by law depending on what you're doing. Frankly, starting a SaaS business as a sole proprietor, even after obtaining E&O or other relevant insurance, is probably not advisable. Further, you may face logistical problems assigning contractual rights over to the new entity.

Forming / registering a new entity, opening up bank accounts, and generally doing business as the entity may not be as expensive as you think, and your potential customers will likely prefer to not be doing business with you as an individual.

Depending on your circumstances, you may want to hold off company registration until you are at the revenue threshold that makes it worthwhile to meet the compliance requirements of a company.

In the UK, you can be a sole trader and use a business trading name (see guidelines on naming your business) so you can market yourself to appear like a 'company'. https://www.gov.uk/set-up-sole-trader/overview

Also, some banks will let you have a trading name but the account will be registered to you as a sole trader. One of the issues sole traders face is whether or not to charge VAT, especially if you have clients who are VAT registered or will only work with businesses who are VAT registered. Plus there is the VAT MOSS (paying taxes in individual EU countries for digital goods) issue to consider. I think it is worth talking to an accountant about the pros and cons of setting up a company, and at what stage.