Occasionally there may be exceptions. Some years ago, one of my husband's relatives was baptized and received into the Church at a regular Sunday Mass. This man had been attending Mass every Sunday (with his Catholic wife) for about 50 years, singing in the choir for at least 20 years and helping with various parish activities. Finally, he realized that he had come to fully believe the Church's teaching, and sought to join the Church. The pastor received him after only a month of individual preparation, reasoning that a man in his 80s who had attended Mass faithfully for 50 years had basically had a 50-year catechumenate. Because of his age and his unique situation, the bishop gave permission for him to be baptized at a regular Sunday Mass, rather than delay 6+ months until Easter.
His case is certainly an exception, however. The vast majority of catechumens and candidates are received into the Church at the Easter Vigil. I know it is hard to wait for the Easter Vigil -- I decided one March to become Catholic, and I had to wait an entire year to enter the Church. It is hard to wait for the Sacraments, but you will learn so much during the wait!