I can echo Andrew Beasley. I assemble most of the buildings before using Halfords (Halfords Group plc is a British retailer of car parts, car enhancement, tools, camping and touring equipment and bicycles - Wikipedia for non UK readers) spray grey primer for smooth stuff or Plastikote Rust effect for textured exteriors (followed by Halfords grey, white, black or red primer).
For simple buildings I mask the windows on the inside(and the roof(
Note, no frame detail yet. And spray with Plastikote Rust effect for texture (other texture spray us available).
I then glue the frame detail (grey board) and prime with grey inside and out (remember the base).
For buildings with doors - TWD:AOW for example, I assemble everything but the doors and details.
Mask the doors and windows plus the door mount tabs and follow the above steps.
Assemble the doors and add the details (note spray the moving doors before assembly).
Mask up again and prime.
Buildings with interiors tend to have a white primer.
I do tend to use Citadel Corax White as a final primer when I am going to paint the walls.