Oh yeah. I always sand all the seams I can before I apply paint.
For big seams and gaps, I use Miliput fine white putty. Roll it into thin strips, and push it into the gap. You can clean it up w/ a wet q-tip, but be sure to leave some sticking up above the surface. When it dries, you can sand it down normally. This stuff is expensive, but when you need it, its worth it for the time and energy you save.
For smaller seams (about the size of a panel line on an aircraft), I use generic super glue. Run it into the gap, and let it dry. Takes about a half an hour. Make sure you use only as much as you need. If you sand it within an hour, it will have the same consistency as the plastic, and can be polished to a mirror like finish. If you wait too long (a few hours or more) for some reason the super glue seems much harder, more difficult to sand. I don't know why this is.
You can buy super glue accelerator, which will harden SG instantly, but I've had some odd reactions when using it. You should try both ways; see what works best for you.
There is also "black" SG, which is SG w/ finely ground rubber particles suspended in it. This makes it easier to sand the SG, and easier to see if you've gotten the seam flush or not. I didn't care for it, I found it too crumbly. But that could just be the batch I had, or something I did wrong. Again, you should try it yourself to decide.
For little inky-dink seams, like the kind that you only see after you get that first coat of paint on, I use Mr. Surfacer, either the 500 or the 1000. I just push some into the seam with a detail brush, wait for it to dry, and sand flush.
Paint will stick to all of this stuff, but if you're using acrylics, I'd prime all the same.
Hey, thanks for the Primer info David. You taught me something I didn't know.
Good Luck, and keep us up to date.
-JC