If you are setting up a Drupal 6 website from scratch, is it important to install a CDN module (or similar service) immediately? Or will adding such a feature be easy to do later on--even with multiple image files or static files already being used on the site domain?
Easy to add later. We usually do it right at the end. =)
To expand, it's easy anyway, but the CDN module makes it even easier: http://drupal.org/project/cdn
As described on the project page, CDNs work by taking files from your normal Drupal 'files' directory, either on demand or on creation (original pull or file conveyor) and in either case this can be done at the end - you can build your whole site, upload lots of files without it - it will all sort itself out when you hook things up.
The CDN module rewrites file links so you don't have to think about that either. And if you miss any, they'll still be there on your local server, everything will still work, and you can spot them in server logs and work out why they're still being served from local.
So yeh, it's cool. No need to worry about it right away.