Pour the concrete footing.
If at all possible, pour concrete footings in the fall before the ground freezes. If the ground doesn't freeze where you live then, naturally, this isn't as big of an issue. If you don't get the footing poured before the weather turns cold, it's ok. You'll have to keep the concrete warm. Concrete, like all cement products including mortar and thinset, needs to be kept above 40 degrees to cure properly.
You can keep a concrete footing warm by covering it with plastic as soon as it's poured, and then cover it with hay. Hay makes great insulation and is fairly inexpensive. Make sure you use enough hay to cover the whole footing. Keep the footing covered for at least ten days. When you start building the wall, don't remove the hay and plastic until you have to. If you're building a large stone wall, you can expose the part of the footing you're working on and keep the rest covered.