Do pin, I think. Gaming minis in general are too small to get away with not pinning. You can definitely build larger stuff like vehicles or 1:12 and up figures without pinning if you're using epoxy and not superglue, but with wee little gaming minis I wouldn't risk it. Superglue bonds resin better than metal: about equal to plastic, however superglue as a material has really good tensile strength, but relatively poor shear strength. Even if the bond is really good, the the glue itself, and therefore the join, can still break easily if pranged from the right directions. Pinning shores up the join against shear stresses, so it's pretty much always a good idea when you're using superglue with parts that are significantly longer than their mating surfaces are wide.
Epoxy glue is IMO the best for resin parts, but it doesn't perform so well when you've got a mating surface that's only 2mm wide or so, so for gaming minis superglue is usually best. For plastics solvent "glues" are the best, though I don't know what their status is in the UK re: health regulations.
For wet sanding you can just use a dish of water and keep dipping the model and/or sandpaper/file. That's easier to do sitting at a table or bench (standing hunched over the sink gets uncomfy/unhealthy quickly), uses less water, and makes it easier to see what you're doing. You don't need constantly running water, you just need enough to bind up the dust so it doesn't get airborne. If you're using files instead of sandpaper or emery sticks, make sure you dry them very thoroughly when you're done (towel them off and hit 'em with a hair dryer) so they don't rust.
Polyurethane resin has a lot more spring than the metals used for gaming minis, so with figures you'll want to avoid primers and paints that can't flex a little without cracking. I don't know what kind of resin SA figures are made from though, seems like a lot of UK-based gaming mini casters use polyester resin, which is a lot more brittle than polyurethane. Resin that's been properly cast & washed will take both glue and paint/primer better than metal though. Those are the only real differences paint/primer wise, the rest is all general preference.
How agressively you need to wash the parts depends on the rubber and mold release favored by individual casters, so naturally this varies unpredictably between kits/figures. You can use quick scrub with dishwashing soap for some, but for others it won't be enough. IMO since you can't tell before hand, it's better to use a stronger method by default. I soak my resin kits in Simple Green for a couple hours, then scrub with warm water.