Advent came early this year. Each year that it does that it seems to catch us, but not this year. We did start last Sunday. In years past when it starts early we've missed the first week but just went ahead and did it anyway. It's supposed to be a time of preparation and focus before Christmas and there isn't anything "magical" about 4 weeks so go ahead and start.
Another thing we've done is to light the candles on Sunday but if we're behind we light the last one on Christmas Eve and then the Jesus candle on Christmas morning. Typically we light the Jesus candle on Christmas Eve and one candle each Sunday before Christmas. If you've never done Advent before I encourage you to just jump right in.
In my opinion there is not right or wrong way. Just light a candle and focus on the real reason for the season each Sunday leading up to Christmas. Many people do pink and purple candles or red and white. We've done burgundy with one gold as well. This year I used what I had and we have 4 purple and 1 gold. I know it's strange but the point is not the color of the candle (though that can be symbolic if you chose.)
Another thing I like to try to remember to do with Advent is snap a picture. We have so many pictures of some of the more commercial things about Christmas that I like to try to include at least one of us gathered around the table lighting the Advent candles. This is one of my favorite pictures of the past.