We tag our lambs pretty much at point of convenience. Anything we are selling is tagged as they leave the farm, and they will all be sold before October (we have to do this to ensure we have decent ish grazing for lambing time) Tup lambs are tagged at 2-3 months, when we decide which we are keeping to see if they will grow into a decent breeding tup. We put our tups out on 5th November, and we then bring our ewe lambs all inside of a bit (keeps them out of the way of the tups and trains them to eat so they know what to do when there are feet of snow later on and all they have to eat is hay/nuts) so they are tagged as they come into the shed.
Must be done by 9 months, though. At this stage, you don't have to submit the tag numbers to anyone, but you must keep a record yourself - how many lambs were tagged, date of tagging, breeds, and the tag numbers. Although they are individual tags, the record can say something like 25 North Country Cheviot Hill ewe lambs, 23rd July 2013, UK564926 02100 - 02125. You don't need to have an individual record, unless you want to, for instance where you are recording pedigrees of individual lambs. You may be asked to show this information at a Farm Assurance or Trading Standards Inspection.
Hope that helps a bit. Do you have a book of movement licences? There is quite a helpful card in the front of that.