@Gmt
If you have the strategy implemented with June options, then you can risk your limit with otm option from June series. In this case the profit loss from the trade is absolute clear defined.
If you go for a current (May) otm option leg, you have a credit spread on the closed side and you have a calendar spread on the side you want to minimize the risk.
Now should we buy an option leg from this month only because of the cheaper premium? Let's assume today you want to protect your JUN trade with a leg from the 6000 strike level. You want to roll this MAY leg into the JUN leg at end of the month May. Kindly compare the prices now from the May 6000 Nifty strike level and the one from the JUN 6000 Nifty strike level. What do you see today when you compare the prices of those two options? Wouldn't it be cheaper in this specific case today to buy now directly the JUN options instead to roll the MAY option leg?
May 2014 series:
http://i58.tinypic.com/168h2yd.png
Jun 2014 series:
http://i62.tinypic.com/29fbkp1.png
As every thing in option trading: It depends on the reason how and why you want to use this option leg. Is it only for part time protection, you may go for the May option leg to safe some money. If you always want to be protected you can go directly for the Jun option leg. Each personals choice. As Toughard correctly mentioned: Each added insurance leg (long leg) will have an impact of the current profit we could make with this strategy at the moment. On the other hand: We can combine our insurance legs in a way that we are suddenly in a position in which the before unlimited loss side is an unlimited profit side. But that is an other story.
Take care