You need to wait until you are actually IN your room, but once there, call Housekeeping and request whatever you think you might need during your stay and they will bring it over within a reasonable amount of time.
The things that I always request right away are: hair dryer, iron, ironing board, extra blankets, extra pillows, and extra towels. Its easier to ask for everything at once. We're used to each using at least 3 pillows per person at home, thats why we request extra pillows, same thing with blankets. And with 4 of us in a room, we always seem to run out of the towels that are already in the bathroom. I always give the Housekeeper a small tip for making this extra trip to the room for us