Definitely too late to do it now as winter pruning leaves wounds into which a bacterial disease called silver leaf can enter.
All members of the plum family (prunus... which includes peaches, apricots etc) should be pruned when in vigorous growth, preferably in late spring or early summer.

acordeing to the royal horticultural society any thing with a stone in the fruit should be prunid in May, yet they say you can cut the leader back in March,it also says that you should thin the fruit when the plums are as big as hazel nuts,, I think that Bertie will agree that if you follow what we have told you' you will have a good crop

just been reading up prune june/july cut back leader in march