before painting

Yup, it's better. Paint'll stick better.
Just be careful you don't knock off any detail!

I prefer to use a liquid detergent (like dishwashing liquid) or isopropyl alcohol before painting - either method will remove both the mold release agents from the injection molding process (if there are any) and will remove the oils from your hands. Both can prevent paint from sticking to your model.
Cheers,
LeeTree

Yep, I use alcohol. I don't think there's any real benefit other than it dries quicker than water. Washing may not seem neccessary at first, but the next time your putting on some paint and it just seems to mysteriously flow away from one section of the kit, you'll wish you'd done it. It also just allows the paint to generally adhere better with the plastic.

Murray

For my models I use simple hand-washing soap. I take a big (ok, realtively big - the one, I don't use for aplying paint, e.g. #8) and soft brush, moisten it and then take few passes over soap bar. I then apply this foam onto my model and wash it away with help of the same brush. After washing i carefuly remove excess of water with cotton cloth. I think, everyone choses technique, that suites him best. And this is not extremely fancy operation, to look for improvements of some kind. But still it helps to remove not only finger stains, but also dust from sanding, which otherwise coul result in nasty blobs during painting process. Especially, if you paint with brush.

I fill the kitchen sink with warm water and dish soap, wash the entire model, then wipe it dry, let it sit overnight, wipe the sucker with alcohol and wipe it dry again.

Don't touch it with your bare hands afterward, always wear a pair of cotton gloves you've washed a few times to soften 'em up and remove any loose fibers.
Glenn