It is better to put it up awhile before the season, but you don't always have to. For example, if you can set up the blind in a brushy area with thick stuff behind you and then brush it in some more, deer probably won't notice it unless they get really close in.
For bow hunting, I always set up my blind several weeks before the season, but for ML hunting or turkey hunting, I've had luck doing what I described about. +1 on making sure your muzzle is sticking out of the blind before you shoot unless you want to melt the plastic, blow a nice hole through, or even set it on fire.