Two schools of thought here for the most part:
1) Build the tracks around the wheels and remove them after they've set up enough to hold their form and paint off the vehicle.
2) Paint them as indy links first and assemble after hull painting, then weather in place as needed.
Either way, I'd recommend you paint the hull first and then add the tracks last. You will have considerable difficulty reaching the top run of tracks if you try to paint them already on the vehicle as it's a pretty tight space to begin with.
The actual color of the links depends on what you want to do with them. I had been using MM Steel as a basecoat with alternating washes of thinned Gunmetal and Rust to simulate worn tracks but I've since changed over to using MM non-buffing Burnt Iron metalizer and drybrushing with MM Steel.
Lots of options available to you depending on the finish you want.