For me the first thing that I do is to determine how well do I know the person oand vice versa. If it's a close friend I would definitely tell him/her right away without hesitation. We do that all the time. We correct each others' mistakes whether pronunciation, spelling, grammar etc. if it's someone I do not know, or just an acquaintance, I wouldn't correct them because I don't know how they will take it. They might get offended even though your intention is good. So I guess it really depends on the scenario or who you wanted to correct.