I think if you're going to use parental controls you pretty much have to tart using them from your kid's birth, because, yeah-- they won't be happy about it if you start later. But parental controls are, I think, a good idea, especially if you're worried about violence/swearing/etc. online on in games.
I agree with you Malone. If as a parent you were to put yourself in these children's shoes, you wouldn't be particularly happy if parental controls were introduced at a time when you needed a lot of this and that.