When do you go through customs?

There are 2 hoops to jump through, immigration and customs. At Amsterdam, you will enter the Schengen Treaty Zone and your passport will be checked and stamped with an entry stamp. That's immigration. In Rome, you will collect you luggage and pass through a door marked "Nothing to declare" (I assume). That's customs. If you were importing goods for sale, you'd go through the "Items to declare" door.

Btw, just so you are ready for it, right after you pass thru the immigration booths in Amsterdam you go thru security. Our group was not really expecting that so had to fumble to remove belts etc.