Since they are a semi-arid tropical, you can start them whenever so long as you can provide their needs.
I would wait until mid to late spring when nightly tempatures are consistently warm if you don't have a proper indoor growing set-up for them.
I've documented the beginning of my Baobabs
here. From collection, germination, and how they are growing (although I need to update the thread with their winter progress...)
As DaveZ mentioned, the best method that I have found was to expose the seed by manually removing the seed coating. I have found it easier to use my concave cutters to nick the coating rather then sanding as you can cook the seeds if you are not careful and have the chance of sanding your finger tips. I then soak them in warm to hot water. Tempature doesn't really matter now that the seed coating has been removed so long as it is not cold water. Once they have begun the germination process and have extended their radical, I'd gently remove some of the seed coating so that the seed doesn't get trapped in the seed coating. The coating should flake off in chunks and you really only need enough that the cotyledons have an escape vector once the begin expanding.
In nature, elephants eat the fruits and their stomach acid breaks down the seed coating enough that the seed shouldn't have a hard time sheding the coating.