I incorporated exercise into my every day routine rather than having set sessions. I took my dogs for a slightly longer walk each day, parked at the furthest side of the car park, took the stairs instead of the lift etc. I'd say if you feel like doing it, go for it.
For me though, I'm prone to an all or nothing attitude. If I'd joined the gym at the same time as starting sw I probably would've stuck at it for a couple of weeks then jacked it in. I decided on one step at a time, but everyone is different. For example I stopped smoking in November last year and only started sw in February, because I wanted to tackle the smoking before I tackled my bad diet.