If you don't control three or more creatures as your combat phase begins, Leonin Vanguard's ability won't trigger at all. Causing a permanent to become a creature during the beginning of combat step won't cause Leonin Vanguard's ability to trigger.

If you don't control three or more creatures as Leonin Vanguard's ability resolves, the ability does nothing. However, if you do control three or more creatures as it resolves, the +1/+1 bonus doesn't stop applying if you no longer control three creatures later in the turn.