Arimidex(and letrozole/exemestane) all work on the enzyme level and actually prevent the creation of estrogen. If you do not start using it at the beginning of a cycle of test for example and 3 weeks down the road become all bloated and start getting gyno symptoms it is due to the buildup of estrogen in your system
Now, starting anastrozole at this point will prevent(well, greatly reduce anyways) the creation of additional estrogen. HOWEVER it will not do anything for the estrogen that has allready been created and floats around in your system. Nolva/clomid work by blocking the estrogen receptor to prevent it from doing its job(or damage in the case of too much). So, to answer the question, yes, ideally you want to start it at the beginning of a cycle.