Argh, the dreaded CV. Whoever decided we had to put our lives on to one side of A4 and send it off hopelessly to employers who receive so many they don't even manage to read the second line was clearly living on a different planet.
Yes, they are important. They should contain a record of your academic achievement, any relevant professional experience, some information on anything you have achieved through personal projects and some information on what you are interested in or want to do in the near future.
But, they are not your ticket to employment and shouldn't be treated as such.
When to create one
As soon as possible. You should have a CV coming out of school and it should be something you can update easily as you gain more experience and qualifications and for when you tailor it to specific jobs.