You can slot level 40 IOs any time from level 37 onward. The bonuses will apply at level all levels 37 and higher. If you exemplar to 36 or lower, you'll lose the set bonuses, but the enhancements themselves will never "go bad".
Answer to a slightly different question:
A "level 40 set" actually drops between 20 and 40. Depending on the set, and what you're slotting, you may do just fine with level 36-39's. Which are generally much cheaper, but take a few days longer for the bid to fill.
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I have a build in which a level 40 set is used. Do I have to slot those IO's when my character is around lvl 40, or, can I slot them any time after I've reached lvl 40?
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