Dragonfire,
You've entered one of those areas where a lot of people think that what they use is what everyone should use. And I don't necessarly agree with that. I would reccommend that you try two or three small projects using the different reccomendations that you get from this thread to find what you feel most comfortable with.
What works for me is the following:
1. CA - I use this when I want to fill and strengthen an area and around windows because it polishes out very clear.
2. Laquer based automotive body putty - I use a DuPont product called Spot n Glaze (it comes in three colors, red - slowest drying, blue - medium drying time, light green - very rapid drying, I use the red it drys in thin layers in about 15 to 20 minutes - the green dries in 5 minutes or less and the blue somewhere in between). I also like it because I can thin it to consistancy of paint and apply it with a paint brush. Being laquer based, the putty tends to "bite" into the plastic so this is one of the reasons you need to apply it in thin layers (I don't use it on kits with thin plastic or vacu-forms - it just melts them). Another reason to apply two or three thin coats (sanding between each coat) rather than one thick coat is that a very thick coat will shrink. And finally the putty is very fine grained making for very smooth finish.
3. Milliput - I've just started using this but what I've seen so far indicates that I'm going to like it - it takes a little work to apply it but can be formed very easily using a wetted finger and sands down very nicely.
That's basically what I use and hope you will give them a try.