I don't quite recall, but I think we stopped swaddling our son when he became consistently good at turning from his tummy to his back (and I don't recall when that was). I know we started sleep training shortly after he turned four months, because (1) I learned from Marc Weissbluth's "Healthy Sleep Habits, Happy Child" that a child is not physiologically capable of sleeping through the night until at least four months, and (2) he'd discovered his thumb and so had a way to soothe himself back to sleep if we let him.
When he was still a newborn, I'd rock him to sleep or one of us would hold him while he slept, just to keep him asleep; but once he was able to find his thumb, we started laying him down sleepy but still awake, so that if he woke up in the night, he'd be able to recognize where he was. (I.e., "I remember falling asleep in this place, so I must be okay.") We had an absolutely miserable week, and then he was sleeping 10, 12, 15 hours a night sometimes, plus two naps during the day. He still generally sleeps 12+ hours a night, plus a midday nap, and he's about 18 months.
As for swaddling, we swaddled every time we laid him down to sleep, but he did not sleep well flat on his back. I didn't want to lay him on his tummy for fear of SIDS, so I bought an inexpensive sleep positioner at Wal-mart that looked kinda like this: /\_/\ and it had a Velcro adjustable bottom so you could change the width. I'd make it narrow enough so I could prop my son at an angle on his side, but with his face up, and swaddled, and that helped him sleep much better those earlier months. When he started kicking out of his blanket, but still needed to be swaddled to sleep, I stopped tucking his legs in and just bound his arms, and that actually helped him, too. He did fine with loose feet, but still wanted his arms "hugged". Again, I don't recall when we stopped swaddling, but it was sometime between four and six months, and when we followed Weissbluth's "rapid extinction" method, we had one miserable week, followed by months of heavenly night-long sleep for all of us.