This is what I am trying to discern right now and was wondering if any of you, when you were coming to the Church, had a similar issue to sort out.
The priest and the friends I am making at the Orthodox church I've been visiting since last spring are wonderful and encouraging. I learn something new with every liturgy I attend, as well as weekly Bible study. I try to attended liturgy as much as I can, but still am alternating with attending my Protestant church on some Sundays.
Father tells me that there is no rush on this journey and that I should continue to seek the Lord and He will direct me as to when I should ask to want to formally become a catechumen. Especially over the last month or so friends I have made at church have been asking me if I am going to be joining the church soon, or will invite me to participate with them in various activities at church, etc. Some are even calling me a catechumen, though I'm not "technically" one. They have been very warm and welcoming to me, which is great, but I still don't feel ready to make the step yet to finally break off from my Protestant church (though Orthodoxy is certainly winning the "tug of war" that I feel spiritually). The more people encourage me and include me in things at church, the more I am beginning to feel a pressure to make a decision and I feel I need more time.
However, I've been thinking as well, when converting if it is wiser to either A) Delay becoming a catechumen OR B) Even though there is much one doesn't understand about the faith and may still be trying to accept (ex. venerating icons) to make that step and become a catechumen and allow your catechumen period to be the time when all of these things will be sorted out.