When in set up to transfer sim card ?

If required, sim transfer and activation will be requested during the iPhone set up process. Otherwise it can be done at any point.

Yes, unless your carrier has already set up service on the new iPhone, you need to transfer the physical SIM card or the eosin at some point to get your service and phone number on the new iPhone.

click here ➜ Set up your iPhone or iPad - Apple Support

and here ➜ About eSIM on iPhone - Apple Support

If you purchased the iPhone 14 in the U.S., it does not have a SIM card at all, so nothing to transfer physically.

An iPhone 16 Pro purchased in the U.S. does not have a SIM card as well.

If the information above applies to you, contact your carrier for instructions on setting up a new eSIM on your iPhone 16 Pro.

When I transferred from an iPhone 11 Pro with a physical SIM to an iPhone 15 Pro with an eSIM, Qick Start transferred all the information from the physical SIM to the eSIM. It was much easier than I had expected.

Use Quick Start to transfer data to a new iPhone or iPad - Apple Support