well, i'm not sure what age we're talking about and what context (like, what are we saying no to?), but i'll just say that at about a month or two of age i told my son "no" firmly when he'd "gum" down on me while nursing. it wasn't something i wanted him to continue to do, so a firm "no" did the trick after a few times. so given my experience i'd say it's never to early to say no if what you're saying no to is a behavior with which you don't want your child to continue.
Never too early to start saying no if you mean it. Don't say it if you're not willing to back it up.