In this paper, a sequential transient detection method for radio frequency (RF) fingerprinting used in the identification of wireless devices is proposed. To the best knowledge of the authors, sequential detection of transient signals for RF fingerprinting has not been considered in the literature. The proposed method is based on an approximate implementation of the generalized likelihood ratio algorithm. The method can be implemented online in a recursive manner with low computational and memory requirements. The transients of wireless transmitters are detected by using the likelihood ratio of the observations without the requirement of any a priori knowledge about the transmitted signals. The performance of the method was evaluated using experimental data collected from 16 Wi-Fi transmitters and compared to those of two existing methods. The experimental test results showed that the proposed method can be used to detect the transient signals with a low detection delay. Our proposed method estimates transient starting points 20-times faster compared to an existing robust method, as well as providing a classification performance of a mean accuracy close to 95%.