In theory, the sensor should go off when there is about 25% of brake pad left, so it should give you ample early warning - if everything is hunky dory and by the book... In practice, those things are far from being an exact science (the sensor is literally a looped wire that's supposed to wear out and break as it contacts the disc, opening the circuit and triggering the orange warning lamp in the instrument cluster), so keep an eye on your pads' actual wear at every scheduled service, tire rotation, and so on, instead of relying on the sensor alone.
The main issue is that there are only two such sensors in the car (mounted on one of the outer pads of front and rear brakes), so if you have uneven pads wear for whatever reason, odds are the sensors won't catch that until it's too late.