The best time to thin seedlings is right after germination so the new root systems won't have so much competition. Some crops will need thinning several times.
The best way is to find out the spacing/thinning recommendations on the seed packets and pull out the seedlings in-between the recommended intervals.
You can use a measuring tape as a guide or you can eyeball it. See the before and after photos below of radish seedlings.
Get it over with - the sooner, the better.
|thinning radish seedlings - before|
|thinning radish seedlings - after|