Hello Matt,
Ray touched on this somewhere...
I believe during the first part of their ministry they did, then towards the latter they realized that it was future. Whether it was through divine revelation or whether they came to understand that it may be a long time until Christ returned, I don't know.
But here are a few Scriptures that show that Paul [as I'm sure most the other apostles also] at least for awhile had a strong belief that Christ would return while he was still alive:
I Corinthians 15:51-52: Lo! a secret to you am I telling! We all, indeed, shall not be put to repose, yet we all shall be changed, in an instant, in the twinkle of an eye, at the last trump. For He will be trumpeting, and the dead will be roused incorruptible, and we shall be changed.
Repose means being at rest, or asleep, in the Scriptures it refers to the dead. Paul was aware that some [possibility himself] would be alive and well when Jesus Returned.
I Thessalonians 5:4: Now you, brethren, are not in darkness, that the day may be overtaking you as a thief,
Obviously, if Paul knew that these brethren would all be dead before the Day of the Lord, then he wouldn't have to warn them of that day overtaking as a thief.
There are several more verses like these which show that the Apostles at least for awhile were confident that Christ would be returning soon, and they would be alive still during the Day of the Lord. Unfortunately I am at work and a little short on time...
But read Corinthians and Thessalonians as there is much in there regarding this topic.
Hope this helps a little,
Daywalker.