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.
I think you should glue the top and bottom halves together first, let the adhesive have a chance to bite into the material and set, if you prime first, sometimes the adhesive sticks to the primer insted of the body of the part and could just peel away and allow the two halves to seperate.
I always build first, then prime. They most always is some triming, cutting, or sanding when building anyway, so even if you primed first, it would have to be redone. Also as mentioned above, if any adheasives are used, they will stick to the primer and not the part itself, and thus will probably fail.