It's best to EV train a Pokemon as soon as you obtain it it, at any level, regardless if you caught it in the wild or if you hatched it from an egg. You won't know if a Pokemon gains EVs right away; you'll know when it levels up and you see a huge increase in the stat you're training at. Since the summary screen doesn't show the Pokemon's EVs, you'll have to keep track of them yourself.
There's a girl in Slateport City who'll tell you if your Pokemon's EVs are maxed out or not. If they are, you'll get the Effort Ribbon.
You stop if your Pokemon gains 510 EVs.
http://www.serebii.net/games/evs.shtml Here's a list of the places in the Gen III games where you can EV train.
Thanks mate, I really appreciate the feedback.