I believe my wife takes it off after it rises the first time, before she makes the dough into the individual challos. She then forms the challos, and lets them rise a 2nd time.
The only time I make dough is when I make it in a bread machine. If I’m just making a dough, I am mafrish after it rises, as the rising is part of the cycle. If I’m baking it in the machine as well, I was told to cut off a piece of the finished bread as challah.