I have usually changed mine by calling before OLCI but on one occasion I left it until the airport after OLCI. The agent thought that she had done it but didn't reprint the BP. I noticed that it wasn't showing online so had the gate agent try to change it (also no new BP). I then asked the agent at the ORD F lounge to check after I had flown the first segment and she said that it still hadn't worked. She then changed it, including the first segment, and all was well.

So it appears that calling before OLCI is best but it can be done later if you get the right agent. It does get complicated once the credit has been processed.