Yes, you must do it at the beginning of the Combat Move phase.
So my understanding is “Declaring War” is a separate step in the turn sequence done before Combat Move, since it is not necessarily done in combination with any combat move but applies to all combat moves. If the is true, this distinction would also keep a player from being able to decide whether or not to declare war (for the sake of convoy raids) after he/she sees the outcome of his combats with other powers (e.g. having retreated into convoy zone of a power with which one is not yet at war). I’m guessing this is all true? Thanks for your answers Krieg!
PS- speaking of declaring war as it’s own step in the turn sequence reminds me of an episode of The Office (American) when Michael steps out into the office and shouts “I declare… BANKRUPTCY!” 😄