I'm sure this has come up before, but...

I find that building a jig and then assembling sections of 4-5 links works best. Build about 5 of these mini sections, and then go back to the last set of 5 which has now had time for the glue to set. Use the jig to join the 5 link sections into longer lengths. Then build another 5 sets of 4-5 links, and repeat. Use the longer lengths to wrap around idlers and sprockets, and to bridge the gaps between road wheels. All in all the German tracks aren't nearly as bad as the Sherman indies. Now those are a pain

I use a method similar to monktrades except I use a meter stick as the guide on my workbench and assemble the lengths by doing 2 mini 5-link sections first then when the third section is done, add the first two together and continue until I have a run long enough to mold around the sprocket, upper return rollers, and the rear idler with the bottom run assembled in a similar but separate fashion. I recommend avoiding trying to assemble the links in one long strip and then trying to fit them as a loop as this can prove to be pretty difficult.

Additional tips: don't glue the sprockets until after the links are in place (this allows them to be removed or rotated to better fit the links around them evenly), don't use exactly 1/2 the links provided as a guide as Dragon always gives you more links than you need, and build a small section to put under the 2nd side so that they finished track side will set up evenly if you decide to leave the tracks in place.

I do pretty much the same thing except without a jig. I just use the lines on my cutting mat to keep the smaller sections together. I build mine in 7-10 link sections and let them partially set up on the side. I use Tamiya Extra Thin Cement exlusively on plastic individual track links.

I always start at the sprocket and try to build a section that is two or three links longer than needed to reach around. This section I will only allow to set up for maybe ten minutes...just long enough that it won't pull apart easily, but not so long that it doesn't want to bend easily.

Once the sprocket section is formed, I'll work my way back (usaully bottom first, then top) until I can build an idler section that reaches both ends. I'll attach the lower end first - since this should be kept taught - and then wrap the section around to the top. With German armor a link or two longer than tight is just about perfect. Attach the top section together, let it sit for 5 or 10 minutes, then you can tweek the top run to form the level of sag you want.

I actually do not glue the track to the wheels, sprocket, or idler at all. I leave it loose and find that if there is a stubborn spot where the track just won't stay down, you can tack it later.

Enjoy your modeling...