When to make train reservation when arriving at Milan airport

Char, most of us recommend not pre-purchasing train tickets for arrival day in Italy. There are just enough chances of something going awry (cancelled flight, delayed flight, traffic jam on the way to the train station, etc) that it's risky. Buying upon arrival is suggested.

But if you buy a full-fare ticket that can be changed without penalty, that can work. You can even buy an economy ticket that allows you to pay the difference between purchase price and current price, if you have to make a change. If you buy a super-economy ticket, you will not be able to change it or get a refund. Some people take that risk if the price of ticket is low enough to "eat".

Timing is sketchy as the amount of time it takes to process people through immigration (Milan is your first entry point into the Schengen?) can depend on how many planes are landing at the same time. Malpensa is also an hour or so from Milano Centrale so I'd give it at least 3 hours from landing time. We always give ourselves a pretty good margin, though.

But if you buy a full-fare ticket that can be changed without penalty

Full fare tickets, called BASE, can be exchanged only up to one hour after the departure of the booked train.

There is no reason to purchase in advance a full price ticket, it would just be a way to be stressed from the first day of holiday. If you have to pay the top price, do it at the airport train station instead of running the risk of wasting your money.

Flights can be delayed for more than one hour, whereas trains do not sell out.

Same for taking a taxi from MXP: an uncomfortable waste of money.
A car can be stuck in Milan's notorious traffic, while the airport train is both faster and cheaper; it also arrives inside Milano Centrale, at the same tracks level used by the trains to Venice. A car will leave you 2 levels down, out of the station: add a ten minutes walk to get to the tracks.

Full fare tickets, called BASE, can be exchanged only up to one hour
after the departure of the booked train.

DOH! That's right, Dario. I totally forgot about the 1-hour-after-departure thingie.
So good advice above, Char: don't pre-purchase tickets (and use the efficient airport express train versus a car service).

We arrived in Milan 10 days ago and had no trouble buying tickets to Florence when we got to the station centrale. This was the only leg of the trip I didn't prepurchase tickets for. Good thing too because we missed our connection in London and would be have made the train either.