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.