Whenever the ball is in play. You substitute on the fly so the game won't stop for you to go in. As soon as the player you're going in for is off the field, you sprint on the field and get in the game!
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In every form of hockey played on Earth, substitutes are free, unlimited and can take place at any time (except sometimes during certain plays in a game; for example, during a penalty corner in Field Hockey).
In a hockey game, stubstitutions are either made on the fly or during a whistle. Its a pretty simple concept. A player goes on the ice and a player comes off the ice to the bench.