. . . The show is taped late afternoon I think.
I'm not sure how long the band have to report for, but there are obviously rehearsals with guest artists and pre-recorded gags etc. . .
[shameless plug alert on]
When I was on the show in 1996 with the Bottle Band (
www.bottleband.org 
). . .
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. . . we arrived at the studio around 10:00am. The Late Show band was already there rehearsing. They played until about 11:00 or 11:30 while we got settled, and then they took a break. While they were off we did our staging rehearsals, camera rehearsals, and stood in place on stage while the lighting and audio guys set their stuff. We finished our rehearsal about 1:00pm, after which we took a break. We were back by 4:30pm for a 5:30pm taping.
For our return visit for New Years Eve in 1998, they taped two shows that day.