I've been fairly new to the armor scene as well, and so far, I've found it easiest to build as many subassemblies as possible, then paint. It's easier to keep from making mistakes, and plus, when you glue the parts together, the paint will hide any imperfections you may have overlooked. The problem with pre-painting the piece is when it comes time to glue them on, you have to VERY CAREFULLY scrape the paint from the area to receive glue.
As for wheels, I personally just paint them. Take care that your hands are steady and relaxed, otherwise you'll have errors. I basecoat the wheels, and then carefully paint the rubber road contacts (the black part). If I make any errors, I simply paint over them carefully using the basecoat.