I have some of the Vallejo Model Color/Game Color as well. There are others here with WAY more experience than me, but I used a laquer based primer (Citadel Chaos Black spray can) before using the Vallejo colors. They go on in extremely thin layers, which is why (I guess) they are so popular for figures. I used the laquer based primer so it would "bite" into the plastic and give me a nice flawless-ish (I'm still getting the skills back) finish for the paints. Also, by using black, you've given the figure depth and shadows while priming at the same time.
Just my ![My 2 cents [2c]](/emoticons/icon_smile_2cents.gif)
. You'll love the Vallejo paints, really top of the line stuff.