Actually, I think the most important advice,( after testing) is to get started, to take things gently, increase your effort gradually. and try to do something you enjoy
The theory
Test before, during and after and to start with at least an hour after finishing. If you find you're going too low for your comfort have some quick acting glucose.
In general if your exercise is aerobic your BG levels should fall, if it is anaerobic they may rise.
Standard advice is If BG is lower than 6.5-7 then you may need to eat a small amount of carbs before.
If BG is above 13.5 then you should check for ketones before exercising and if they are present don't exercise until BG is lower, If they are above 16 then again you shouldn't exercise.
Take account of your insulin action. If you are exercising whilst it is at its highest you may find it more difficult to keep your levels up. In that case it might be better to lower your insulin with your meal before exercise. (its best avoided if poss). If possible, don't inject into your thighs if you are stepping or running, or your arms if using them ( the exercise speeds up insulin action)
some people find it necessary to eat something after exercise, particularly if its a while until the next meal.
What works for me
Personally, I find that it doesn't matter how high I am when I start (within reason), nor if I eat something before, I plumet during the first 20 minutes, I then take just one dextrose tablet and keep drip feeding them every 20-30 minutes. This works well for me up to about 2.5 hours of exercise (longer its slightly different) It did take a lot of testing and I still take my meter with me every time I go out for a run. I probably also am happy to exercise at lower BG levels than many. people.
I've found that if I do a lot of exercise during the day or exercise late afternoon, early evening, I need to reduce my insulin with dinner or risk a hypo late evening/early morning. If I do a lot of exercise during the week then I end up with very much reduced dosages (both basal and bolus)
Bear in mind that whatever you do, as you get fitter your response to exercise may change. (and as with everything else some days everything will be diferent)
This page on gives a bit more detail
http://www.runsweet.com/CarbsAndExercise.html