I start working on my taxes the last trading day of that fiscal year. Got to make sure I'm in or out of positions for the end of that trading year.
As for the physical files, I've already estimated all my capital gains, dividends and interest payments and w-2 earnings. I track that stuff throughout the year on a spreadsheet, so I don't have any surprises (either a windfall with a return or a massive amount of tax due - although I prefer the windfall). I use the IRS's Withholding calculator and double check it throughout the year (Site : http://www.irs.gov/individuals/page/0,,id=14806,00... - for 2012!)
I try to minimize overpaying my taxes throughout the year from my earned income, but want to make sure I'm paying enough taxes to cover my other forms of income. I also throttle my 401k contributions (by increasing them) to lower taxable income if I get too close to a bracket (and can afford to do that).
I normally have every complete and together the first week the IRS starts accepting returns. Which looks like it will be Feb 15th this year, since that's the last day institutions have to get you tax paperwork.
Hope that helps!~