At the lambing course I did at our local agricultural college we were taught to ear tag before turning out in the field, so that's what I've been doing. I usually band the ram lambs and ear tag at the same time - about 2-3 days old. (I don't dock their tails as they are Shetlands). It's true that their ears are very small, but it honestly doesn't seem to bother them - a shake of the head occasionally but usually they don't react at all. Having recently had my own ears re-pierced I imagine it feels a bit like that, which was a strong localised pressure, not actual pain. You do have to be very careful to avoid the cartilage and imo you shouldn't do it unless you've been shown how.
Since the little rams have to be banded before they're a week old I prefer to do these operations in one go before turnout saves having to get the lambs back in after a few days - the hassle of separating the ones that need 'doing' and the stress to the mothers seems worse to me than dealing with them earlier.
I was going to ask advice about a ewe lamb who has already lost 2 tags and now has a rip in one ear, thanks to her brother who keeps chewing on it. I expect I'll get told that I shouldn't have tagged her at such a young age ... anyway, I am going to wait now until she's older and has bigger ears before I re-tag, no problem identifying her as she's the only one with no tag.