I think it depends on personal preference.
Usually, I wait two weeks. However, two weeks ago I did it immediately following a relaxer treatment (same day). It depens on how long I want so spend fussing with my hair. Either way it turns out nicely.
As always with henna, it's really recommended to use a good moisturizer and don't use it to replace protein treatments.
Softresses also does her pretty close following her relaxers (same day I believe).