Milliput is a 2-part epoxy material, & is pretty inert. I don't know if it heats up when mixed, like some resins would, but I've never heard of it doing so.
Treat Milliput like any filler, I would always undercoat with a primer to give an even coverage. Badger Stynylres is my go-to, but any primer is good, as is Tamiya Acrylic.
I've not had any problems painting Milliput with primer, or even directly spraying Tamiya as undercoat or topcoat.
Glue to model with PVA/Elmers or Superglue/CA.
One tip i've learned is to cover model where your sculpt is to go, with Clingfilm/Saran Wrap, do your sculpting, the allow to dry, 1-2 hours or overnight. You can then remove it from your model for painting, & crucially, remove the clingfilm from your model which will have remained clean!