If you purchase outside insurance (better coverage in most cases and usually lower cost) don't buy it until you near the penalty period. If you need to cancel your cruise outside of penalty there is no need for insurance. If you buy it early and then cancel, the cruise line doesn't have a penalty but most insurance is non-refundable so you've lost the cost of the insurance for no reason.
Neil alluded to this in the paragraph above this one, but I want to clarify -- if you need protection for cancellation due to pre-existing conditions, purchase insurance as soon as possible, typically within 7 days of initial deposit. Note that the pre-existing condition exclusion is also applicable to family members not traveling with you.