Depending on the severity of the error / tip - I fluctuate between giving advise mid game vs. at game end.
For situations like "play bank before your other treasures", that's one I would give out right away. Someone recently ended up with a situation where they played golemn -> swindler / seahag. They played the sea hag first, and then swindled the curse... so I pointed out straight ahead.
I think I have have been burned once by this in a throne room / minion game. After someone started throning minions, they did the common new player mistake of taking $2 first, and then shuffling...
When I pointed out that if you intend to shuffle, you should do it first, so that you have the option to either shuffle or $2 AFTER seeing the results of the shuffle, they proceeded to do that for the rest of the game.
I don't remember if it actually cost me the game, but I was definitely questioning the wisdom of providing the tip in the middle of the game.
Most of the time, strategic advise mid game doesn't really matter all that much - since there's really no way to take back the throne room / woodcutter opening.