It can always be done at the counter or the self service kiosk as you need to check luggage anyway. There is no real need for the number to be registered until that point.

If you book via the phone, they seem to never register your FFP number. I wonder if they think people don't need it as they will accrue zero miles... Booking SK awards online it is normally registered in the booking. My number was even registered in the booking when booking a trip for my mother.