I guess as soon as they download (technically?)
I don't actually download them though, I stream them. I usually just make a quick playlist of unlistened to episodes on my android phone using my PodCatcher of choice BeyondPod (YMMV), then click play on my playlist and they stream over my data connection on my phone while I do anything of the physical labor type stuff we all find ourselves doing from time to time, like doing dishes, yard work, crafting infernal devices of varying degrees of effectiveness, you know, husbandly chores and such.