Mine started at 39 weeks, but my OB purposely waited until later because she likes to limit any sort of pelvic exams during pregnancy. Some check a lot earlier and weekly.

He checked me at 36 weeks. And will not check again til 39, which is next Thursday for me. I think it is because they don't want to run the risk of infection always sticking their fingers up there. Unless your showing signs of labor, they will probably wait.