Miller41 you can do it either way and it really comes down to a matter of preference. Some will paint the body with the wheels off then go back and paint the rubber part by hand, some people paint with the wheels glued on then paint the rubber by hand on the vehicle. Some people use a wash for the rubber part so it's not really painted. If you're going to make them dusty and dirty I think it would be easiest to do them on the vehicle because you'll cover the rubber with weathering anyway.
I haven't decided what I like best yet myself so just try something and see how it goes and try something else next time if you don't like it.
Now that I think about it...that was really wishy-washy wasn't it.
I'm sure some more folks will give you their prefered method.
Eric