Are you supposed to step in right away or are you supposed to wait to give the players a chance to notice the error themselves (and hand out warnings if they don't)?

Use your best judgment. There is no easy answer for this one, really it comes down to the situtation. In general I don't step in until it passes the point where the player could have spotted the error and due to the actions taken it could not be considered anything but an error. There may be other factors I consider but that is generally how I'd handle it.

The thing to remember is that judges do not prevent players from committing errors, we simply deal with the errors after they have already occured.

Originally posted by very first paragraph of the IPG:

Judges are neutral arbiters and enforcers of policy and rules. A judge shouldn’t intervene in a game unless he or she believes a rules violation has occurred, a player with a concern or question requests assistance, or the judge wishes to prevent a situation from escalating. Judges don’t stop play errors from occurring, but instead deal with errors that have occurred, penalize those who violate rules or policy, and promote fair play and sporting conduct by example and diplomacy. Judges may intervene to prevent or preempt errors occurring outside of a game

As Cris implied, and as the policy states, don't intervene if it isn't an infraction YET.
Also, if you wait to see if they notice, the game may progress just far enough to complicate any sort of fix.
Indeed, it can be a delicate balancing act…

I've got the same question from a player. What should spectating player do when he see a GRW ? Can he tell players to stop the game and call for a judge or he isn't allowed to interfere at all ?

At regular and competitive, spectators are allowed to stop a match if they suspect a problem. At Pro, they are not.