Always? No... (Of course, the Paint Nazis will tell you different...) A wash of soap & water to remove the mold release agent from the parts is recomended, but I've never bothered with it unless it's visible or I can feel it, with exception of car bodies. A quick wipe-down with rubbing alcohol or clean thinner works for me. On the main exterior parts, like hulls, turrets, fuselages, wings, and car/truck bodies, you might want to give 'em a quick clean-up, or you might get a bunch of bubbles in the finish from silicone contamination. I paint interiors and figures with brushes, same with exterior detail parts.
The only priming I do is on figures I'm going to paint with Tamiya acryllics, since they have a tendency to streak, or when the plastic is a dark color... Gray, white, yellow, & silver plastics I don't usually prime. When I DO prime, I use a light gray from Wal-Mart or some such. Primer-surfacers are good for large model exteriors, since the primer will fill sanding scratches. Just give primer-surfacer a good rub-down with a Scotch-brite pad and wipe the dust off before you paint. I also prime armor that's molded in dark colors a light coat of light grey if I'm going to airbrush, since airbrushes put thinner coats of paint on the surface than a rattle-can.
But, the bottom line is, "When in doubt, wash it out"...