Everyone probably does it differently, but when I get a kit, I study he instructions first, then cut out peices, sand down where they came off the sprue, and then test fit them together, usually just holding the pieces next to each other and seeing if they look right. Then I glue and paint them.
You usually paint each part seperately then glue them together, unless the parts are the same color, then sometimes you can glue all those parts together and paint them as a unit, like the engine block, oil pan, and heads sometimes are.
Before glueing the parts together, scrape any paint off the part where they will make contact, the model glue will not glue paint to paint or paint to plastic, only plastic to plastic, as it actually disolves a bit of the plastic when the pieces are glued together. Use the glue sparingly! Too little is better than too much.