Generally, it is a good idea to wash the parts before starting the build, to get any mold release compound off of them. I leave them on the sprues and dunk them repeatedly in a plastic tub of warm water with diswashing soap. Then I rinse them by dunking them in clear water, or use the kitchen sprayer on them, and lay them out on a towel to air dry.
It's also a good idea to do this between every paint or sealer coat, to get your finger oils off. It is mandatory if you are trying to get a good natural metal finish.