I'm pretty sure it was after Kakashi taught them to walk up trees. That's when they learned to focus chakra into their feet and if you go to Sasuke vs Haku after the training; you'll see that Sasuke is using Shunshin to increase his speed. Naruto doesn't use it much but have used it such as against Neji with the chakra cloak. Sakura used it against Ino when she focused chakra into her feet. Lee and Gai's speed is Shunshin as well so Sasuke in the Chunin exam uses Shunshin on Gaara as well (Lee commented how it uses stamina to move that fast, Stamina is used to make chakra).