PE is generally clean when it leaves the manufacturer. They have to wash it and rinse all the etching residue off or it would continue to etch in the packet.
The problem is you and your pizza-grease stained fingers ...
I've found that a brief soak in lacquer thinner esaily dissolves finger oils. After the lacquer thinner allow the piece to air dry on a piece of lint-free material. It is then ready for painting.
I have not found it necessary to anneal the PE by heating it to cherry-red over a candle. I seem to be able to work it without that step -- perhaps on larger armor subjects it may be beneficial. Anneal first then clean & paint.
I have tried an overnight soak in vinegar. There was no appreciable difference in paint adherance between the lacquer thinner treatment and the vinegar treatment