Hello Variolos,
I'm surprised nobody has responded to this sooner.
Everybody has a different approach, but generally, i build it all, then paint it after that - primarily for the main reason you've encountered - there may be some filling and sanding that needs to occur.
Additionally, the glue can often eat into the paint, which would also look at little unsightly.
Depending upon the subject though, you may have to build in sub-assemblies. A standard tank involves just the chassis as one assembly, turret as another and then the tracks as another. These pieces are then normally easy enough to put together without any glue marks or filler being present.
I have built some tanks though (especially modern armour) where you may need to paint the bottom of the hull and running gear as a separate sub-assembly to the top part of the chassis. Again, this isn't too much of a hurdle, but may need a bit of close attention to touch up points and make sure you don't overspray already painted areas.
With regard to your question on dry brushing, as you look around, you'll see there are a number of different options to finish your models, so you may also start to see things like washes, dot filters, pastels, pigments & oil paints.
Don't be too overwhelmed, but i thought i'd just point out there are a lot of different techniques to try as you progress.
Hope this helps.