In which stage of product development it is better to start working on the SEO of the web site?

Create a list of Keywords by analyzing your competitors in your niche. My preferred website is Semrush for this. Then to start off with prioritize the long tail keywords which are easier to rank for and optimize the page using Yoast SEO as a guide (or something similar) SEO generally takes time to gradually improve so it's best to optimize as soon as possible. However, you need the pages to be user friendly and have other content aswell as words. If it's ecommerce, pages need products to rank well also.