I've found it's a bit of a balancing act.
My first few games I always fell short in the colonization dept, so I made it a priority to go build up a big research inftrastructure and grab Aquatic / Extreme colonization ASAP. That actually works pretty well, provided you're not next door to a Drengin, or other uber-hostile race. Even then, you get a pretty solid grace period as a head start. If you're the first to land a given Extreme type, you usually get a tremendous advantage due to sheer land mass ( since those planets tend to be much higher PQ than the initial ones ), and you will quickly make up the early-game losses you might have incurred due to colony rushing.
But. I have also found you need to know when to stop. You get such a huge boost from that first colonization effort that it's tempting to keep going and colonize the other world types as fast as you can. The problem is that new colonies are a massive drain on your economy, and if you're trying to develop 6 or 7 startups at once, it's pretty easy to get into major debt. I found myself completely stretched thin, and paying whatever I had just to get Economic Improvements up, which left me in really rough shape when that first "your d00dz have assisinated the other d00dz emperor" event hit. ( Could you tell them to hold off the Veangence till I've paid off these barren rocks? )
Plus, you get to a certain point in the game where territorylines become pretty solid, and colonizing that juicy High Gravity World at the back of another race's sector becomes pretty sketchy. A ) It's far away from your support, so hard to develop B ) It's really really close to his worlds, so easy for him to invade and C ) you're fighting an uphill Influence battle the whole time. You'll probably have to Culture Bomb just to keep your planet from rebelling. The way I see it, colonizing one of those worlds is pretty much a "fuck you" to the other race; I view it as a backdoor way to start a war, rather than a reliable means to get more planets.
As for when the "colony rush" is over and the trenches begin, I dunno. Have to feel it out I guess, I can't think of a particular transition point. But the better you you do in the initial colony rush, the more "safe" planets within your grasp you'll have later on to grab when you have time. I suppose some people will be good enough that they can just go balls-out colonizing the whole game, but I haven't been able to play it that way.