Leaving PhD program to apply for industry job - better to apply while still officially enrolled?
Being unemployed can significantly decrease your likelihood of successfully landing a job. The preceeding link is one of many stories covering that angle. The best graph describing how bad it is comes from this Atlantic article:



The upshot of most of these is that employers have a psychological bias towards employed people. Whether this is "fair" or "appropriate" or even "smart" not is really not the question, the finding is pretty difficult to refute: you are far more likely to land a job if you are currently gainfully employed.

To bring this back to your original question, I would strongly recommend you begin your job search before you leave the program.