YMMV but I tend to assemble then paint (though if you follow the link below, you will see that the Sarissa jail was built and painted as sub-assemblies)..
It depends on the material the building is supposed to be built from.
For Adobe, I smooth out the joints with Milliput, which also gives a 3d effect on the plaster rendering.
I spray the walls (after masking windows etc) with Plastikote Rust Effect paint.
(Okay, that is a European example).
I then spray it with Halfords Grey, then White primer and a final light dusting of Citadel Corax White.
The brick surfaces were first washed with Citadel Gryphonne Sepia wash. All the walls were then washed with Citadel Agrax Earthshade.
Detail of the surface effect (okay from a WW2 pillbox)
https://ultravanillasmurf.blogspot.com/2019/04/adobe-jail-sarissa-40mm-scale.html