You can make them as late as you want but it's not recommended that you do that because if you leave it until like an hour before you get on the train you want they might have run out of seats - that's not an issue though, it just means you'll have to sit on the floor and you'll look like a mug and get in the way of EVERYONE (speaking from experience: you feel like a right ****). The best way to go about reserving seats is when you turn up in a new city, make sure the very first thing you do is go to the help desk and reserve your seat for when you leave. That way you wont forget and then it's all sorted and you don't need to worry about it.
The only exception to this is night trains, which for the most part you have to reserve seats in advance. But if you do what I said above then it wont be a problem.