A frequent topic, to be sure. If you wish, I would suggest doing a forum search, as there have been enough posts about this very topic.
ANywhoo, my two cents:
All steel:
I assemble in portions as much as possible, then airbrush the whole thing either steel or gunmetal (chainmail and gun metal from the Citadel acrylics range). This is followed by a rust wash, then a dust and dirt wash. I apply each as either watered down artists acrylics or pastel chalk powder and water. After fully dry, I drybrush lightly with a steel colour.
As for rubber-pad ones, I hand paint (very carefully and time consumingly) all the metal portions by hand, then wash with a rust shade. The rubber pad portion, I usually leave as is, as vinyl is close enough to the colour, then drybrush lightly with Tamiya neutral gray.
In both instances, when the tracks are on the vehicle, they receive a dustcoat that is airbrushed over the whole running gear and tank.