Initially scheduled to start shooting in Cleveland and Los Angeles in March 2013, production has been delayed a few months.
According to FeatureFilmCasting.com, the Captain America sequel will now start shooting in Cleveland and L.A in June 2013.
"Marvel Studios is set to begin shooting the superhero feature film sequel 'Captain America: The Winter Solider' in June 2013 (pushed back from March). The locations where filming will take place are Los Angeles and Cleveland, Ohio."
Also, noted by Feature Film Casting, is that Marvel is still looking for a female actor to play the role of Steve Rogers' love interest, Sharon Carter/Agent 13. In the comic universe, Carter is said to be both the younger sister of Peggy Carter and then the niece of Peggy, in various comic book continuity.
Peggy Carter was the love interest of Cap in the origin movie, "Captain America: The First Avenger."
Even though Cap 2's shooting schedule is delayed a few months, this should not affect its theatrical release date of April 4, 2014.
UPDATE: Per Chris Evans, while on Doug Loves Movies, scripts for Cap 2 haven't even been delivered as of mid-January. In other words, last second script re-writes are most likely the reason for the delay.