It's up to you if you want to paint them separately then glue them. Try both ways, see what works best or is more comfortable for you.
I usually put the model together , then spray it. The only exception is the bogies & tracks. I paint those all in first.
I usually spray the lower hull , under the fenders..bogies , tracks..first.
ie- Panther
Prime wheels , sprockets while parts are on sprues. Base coat them Dark yellow. Then assemble the wheels.
Next , prime the lower hull , including under the fenders. Base coat them.
If the tracks are vinyl,prime your tracks, base coat them red brown.
If your tracks are separate links. Assemble them after you have your lower hull & wheels painted & assembled..base coated.Do 1 track at a time, get it assembled, primed, base coated then glue them to your assembled hull & wheels on your model. When assembling tracks, give them a few mins for the glue to dry, not to long, but long enough so they bend easily & won't come apart.
I then put the bogies & wheels on the tank. Then I start assembling other subsections of the model. Test fit the upper & lower parts [hull etc..] , make adjustments. Spray your other camo colors. Make sure you have your assembled turret handy to get your pattern correct. Your wheels & tracks should be complete & on the tank by this point. After the camo is dry & your happy, glue everything together. Let it dry, do sanding where necessary, load the camo colors & do touch ups ..seams etc...
Let that dry an hr or so, move onto your dark wash...etc...
With the camo on the wheels..I only paint what is going to be seen. I don't worry about stuff that isn't seen, but I do make sure I have primer & base coat on all parts.