Depends.
Painting on the sprue is a waste of time. You have too much clean up to do on plastic figures to do this.
You
should prime. Use your airbrush to lay down a coat of light complimentary colored paint. This will help in seeing fine seam lines and other flaws you're going to need to fix. The airbrush will cover without a loss of even the finest detail.
Assembling before or after painting depends on two things, the pose and the engineering of the figure. Some figures, Pegaso for example, are usually so well designed there are no gaps to fill. The pose will also determine paint/assembly sequence. If an arm is posed in such a way a surface is visible but would be hard to paint, I will paint first and do any touch up later. I tend to paint weapons and webgear before attaching to insure better coverage.