When you do it is of no importance. I do it at the same time I am opening the account and get my ducks all lined up. Takes about 2 seconds with a Vanilla Visa Gift Card.
It doesn't seem like you are proceeding in a stealthy manner as Walmart card needs all your personal information when you don't have to with VV gift card. Not to mention you are only allowed 1 Walmart card per SS number.