Swaddling infants is something of a controversial topic recently. It is done from the start at the hospital for newborns. There is a new article from the American Academy of Pediatrics here that has an excellent discussion of the topic.
What do I recommend? It is fine to swaddle from birth until 8 weeks of age, make sure there is room at the chest for the infant to comfortably breath (you should be able to get your hand between the blanket and the infant), and make sure the swaddling is looser around the hips.