Start it all up at once if you have all the equipment.
If you don't have the sump yet, then at least put the rocks in the tank and get it pumping. Get your salinity set, turn on the heaters and stabilize the temp. It's okay if the heaters are in the tank right now. Big deal.
The sooner you start, the sooner it will all cycle. You are aware that you should let the tank cycle completely before you put any fish or inverts in there.
If you start the tank now and add the sump/refugium later--it may cause a little cycle, but if you've cycled the tank good from the get-go, it will be fine. A poorly cycled tank--then add a refugium 2 weeks later and 6 fish--you may kill the whole tank.
The best advice anybody ever gave me when I was first starting my first fish tank was "Be Patient". That was 20yrs ago. It's still true today. Fish keeping is NOT a fast paced hobby. If you want adrenaline, I know just the hobby for you. See my avitar. Reefing and fish keeping is SLOW. So enjoy the slowness. Find your reefing Zen and settle in.
You can add a sump/fuge anytime you want. If you add a bunch of live sand & rock you might get a small cycle but the chances of that is very slim if your tank is already cycled and you get cured rock. If you;re just adding some macro or whatever, it doesnt matter. a sump is just extra water...
http://www.tampabaysaltwater.com/thepackage/setup.html Go to the URL site I just posted. If you follow the directions up to the point of Package Two then you will have successfully cycled your tank in the best way toward assuring the preservation of your live rock/live sand and all organisms associated with both. Use the standard methodology recommended quite often and you will have a cycled tank with a lower population of bacteria and a much lower level of all other life forms including coraline algae. Unless your lucky and have no cycle as you have obtained the unusual, which is fully cured, fresh live rock that is not already dieing off as you receive it.