I think it really depends on the individual.
Theoretically I believe exercise is very important from day 1. In reality, not necessarily.
If you are a couch potato and pretty overweight, I say concentrate on the food first. If you are an active person, keep it up!
It's a big lifestyle change for a fat, sedentary person to change food and exercise at once. Plus, face it, exercise is a lot harder when you're fat. And there are all those issues about feeling like a sweaty blob in front of all the skinny folks at the gym.
Like WOO said, seeing the weight come off fast by eating to plan is very motivating. Some of us needed those quick losses to be able to find the determination to stick with plan. Exercise can lead to a TEMPORARY stall on the scale that can discourage SOME people. Only you will know if that could be a roadblock for you.
But take heart, losing weight and feeling great soon enough makes you WANT to get moving. When you see how good your bod can look, it makes you want to do even more to make it look better.
And after 10 or 20 or 30 lbs down, you'll be amazed to discover how much easier it is to workout, to take that swim or start a walk/jog program or get out on your rusty old bike. I felt so amazingly light. It was hilarious. My performance got an immediate boost --- more motivation!
Assess your own lifestyle, past issues and potential pitfalls. Set reasonable goals. If that means focusing on LC for now, so be it.
Slowly try to incorporate more activity into your life, but don't put huge pressure on yourself. You'll WANT to do it soon enough, when you realize diet alone isn't going to give you the look many of us are hoping for.
The key is to challenge yourself -- and be honest about whether you're really working hard. For some people, a 20 min walk is challenging. For others, you need to push yourself a little harder to see results.
I do stress if you're already an active person and exercising regularly, of course you want to keep it up.
My thoughts are aimed mostly at people like me for whom hefting a fork was their only physical activity.
Now I do HIIT biking 3-5 times per week and lift weights 2 x per week.
I've inspired my DH to get off his lazy butt too, and we bike together now. He just turned 40 and I'm 36 and we haven't felt this good since our 20s.