In the official forums, Dymontyris from the wow powerleveling Shandris realm wrote that as he goes around Northrend doing quests and collecting gear he wonders where the socketed items are. It¡¯s quite understandable to wonder where they all are since he was only level 73 when he made the post and there aren¡¯t that really many at that level just yet.

In my experience though, I encountered a green item with a socket right in the Howling Fjord and I think it¡¯s from one of the quests from Camp Winterhoof if you¡¯re Horde. So early one, I encountered a socketed item already. As you go along you¡¯ll encounter a few more socketed items, some of which are in from dungeons. I got one just today from the quest Betrayal in Zul¡¯drak where you have to choose from 3 neck pieces with a socket in it. But it¡¯s true that you don¡¯t really see a lot of socketed items around while leveling up but it¡¯s not true that there aren¡¯t any.

Blizzard poster Bornakk tells us more about soketed items while leveling:

Generally speaking it felt weird to have an item at a leveling up phase that had sockets in it so you¡¯d be trying to get the gems and the cuts you wanted, get them in, then have it replaced one level later. You will start seeing the socketed items the higher level items after reaching level 80 so after getting the gems and cuts you have a better chance at hanging on to the item for awhile so that it means something. source