Lots of different methods available to you. The key is to determine whether you want to paint them on the sprues as individual links or paint them as a whole track. Once you make that determination, you can go about handling the assembly and final, if any, weathering you want to do as well.
Jwest's suggestion about using a straightedge or jig is essential to insure your track sections come together straight. Dragon is usually pretty good about their link molding so you shouldn't need to do excessive cleanup on them unless you want to fill and sand all the sink marks common to them.
I prefer to paint all the links and assemble the track in pieces then assemble pieces into one track, doing the fitting and adjustments in one go then leaving it overnight to cure up. Dragon links aren't workable generally speaking so when you decide to do start this phase, be sure you have enough time to construct the links and the shape or place them around the running gear the way you want. If you give yourself 1-2 hours the tracks should retain enough flexibility to allow you work with them without them falling apart...after that they tend to stiffen up too much and become brittle depending on the glue you use.