depends on the model, but yes some you should not construct fully if you wish to paint parts it will cover. Models like the new plastic daeon prince are an easy choice to fully assemble. Things like marines, i always leave the bolters and backpacks off when i paint them. Its really not a big deal leaving them somewhat unassembled. Just make sure you are careful with the glue. Polystrene will eat paint and superglue can leave a white film around the area if you use tooooo much.
Trust is a dagger, the hilt as sharp as the blade.
Death to the Imperial dogs