I'd recomend temporarily gluing your figures and items down on a paint can lid to paint them once they are constructed.
It saves your work from finger prints and allows you to not touch it and leave oils on it. Also, it garuntees that the figure wont be messed with in the painting process, so when everything is dry, all you have to do is gently snap it off and mount it on the diorama. Just use a little super glue, just enough to hold it on and fight gravity and the strokes of the paint brush.
Also, you might want to make your figures more realistic by scraping or sanding off the mold seam line that comes on every part. That way it doesn't look like it came from a mold, the figure actually looks real.
Look into washes and drybrushing and highlighting. Check this out:
Without wash, highlights, and drybrushing:
With a wash, highlights, and drybrushing:
A wash gives the "wartorn" and abused look. The highlishts and drybrushing give a light illusion, so even if a light was pointed directly in the shadows, it'd still look the same.
Happy modeling! Hope it helps!