I primed after I had all the major pieces assembled, with the exception of the left gauntlet rocket and the right gauntlet hose connectors. Just a preference, I suppose.
I agree with Defiler though, about the trim. After you assemble, wear the gauntlets for an hour or so to see if there are any 'rub' spots. For me, I painted them before wearing them, and now after DragonCon, I have to sand down a spot on the right gauntlet wrist area, and REPAINT/REWEATHER that spot. Not looking forward to that.