I usually prefer to wait until the snow has completely stopped or at least slowed down a lot before I begin to shovel the snow.
If I shovel the snow while it's still snowing the sidewalk and driveway just gets covered again and I have to shovel the snow off again.
Now if I'm bored with nothing better to do then I may go out there to shovel snow and move it into a pile to use for making a snowman or something else.
But other than that I just wait mostly until the snow slows down or stops before shoveling the snow but it really is up to you.
If you are bored and want something to do then shoveling the snow would be good exercise and give you something to do and get you out of the house.