It's time to move over if you are using up too much of their server resources
Another good reason is if you want to have more freedom, install your own preferred control panel, enable apache / php modules which you need which your shared hosting provider does not enable by default, optimize the server for your own needs etc...
Off course, you would also need the budget since it's more expensive than a shared hosting account.
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I think any time is a good time. If you expect your site to grow rapidly you don't want to move when there is a large amount of traffic and possible create downtime. I do think you should check out the WHT forums for dedicated servers, there are alot of good providers on the forums.
Traffic right now is not a lot, but I am looking to grow each wordpress blog to 40,000+ visitors a day. This will take sometime.
Well, it depends how much money you want to burn. If your website is working fine on a shared hosting plan, I don't see any need to switch to a dedicated server until you start receiving that sort of traffic making it necessary. Another option would be to consider a VPS, or a semi-dedicated / hybrid server ... some middle ground between shared hosting and dedicated servers.
Why spend extra money if you don't have to? Also consider that if you're not technically inclined, you'll have to hire a management company with that dedicated server to keep things secure because the last thing you want is your blog being defaced while you're passed out drunk on the floor after a night of partying with the local frat boys. (Assuming you guys have frat boys in India, but non the less, I bet you know how to have a good time!)