Don't feel obligated to jump right into an alliance from the word go, but do around and try to get into an alliance by the time you hit your fifth city or so.
I'd say that you should consider three things when looking for an alliance - your play style, the alliance community, and the ongoing politics the alliance is in.
First off, your play style. If you don't like war, joining a raiding-focused alliance is a poor idea, for instance. If you want help with city builds, joining an alliance that has pre-fabricated suggested builds might be for you.
Second, there's the matter of an alliance's community. Every community has a different feel to it - The Opus Dei bloc has very different social norms, for instance, than the newly-formed bloc they're currently at war with. It's important that you feel comfortable with your alliance comrades.
Finally, there's the matter of ongoing politics. There's a global war on right now, so joining a combatant alliance such as Pantheon or The Immortals fight be biting off too much at once. This is up to you, though - if you want to sign with, say, NPO or Bird Weed while they're at war and jump into the deep end, that's your call.
I hope you find an alliance that fits for you.
- Ned Sexaginta, Mojavian Premier