I'm afraid you get my standard reply: it depends. Sorry!
Some aircraft have fantastically complex undercarriage; with others, it's little more than a stick with a wheel on the end. And that wheel is an added complication. Plus, there's the question of how strong the parts are - will they hold the model off the deck without help?
What I generally do is this. I paint the undercarriage bay on the airframe (unless it has undercuts, in which case I paint it before installation) and assemble and paint the undercarriage itself before I install it. If it has complex geometry that would make it tricky to paint it last, I see if there are sub-assemblies that can be painted first. If not, it has to painted one piece at a time and then assembled. (If you use an airbrush, this is less likely to be a problem.) In either of the latter two, I leave the mating surfaces unpainted or use superglue to assemble it - which I choose depends on how large the contact points are (and thus how strong they'll be). I always leave off the wheels, but paint and weather them before assembly.
Painting such small items will be problematic but they help you by almost always having a locating lug at the upper end. Insert this into the business end of a pair of Helping Hands and you can paint to your heart's content.
Then, at the best point in the build, I install the undercarriage legs but not the wheels, and weather the legs and bays in situ. This way the two are tied in and I don't have to worry about touching in afterwards. Choice of glue again depends on strength of join.
Finally, as close to the very end as possible, I attach the wheels. I always file flats or use pre-flattened wheels, so I always check-fit first. A piece of stiff plastic card is handy for this - it gives a flat surface without bowing and yet is light enough not to shift the wheels, so it acts as an upside-down "ground" and allows me to rotate the wheels til they're sitting right. As a rule I use slow-curing glue for this, again depending on how strong it needs to be. Multi-wheeled aircraft are handy because you can align the wheels using only one on each leg, then add their counterparts afterwards without needing to set them separately.
Alternatively, there's gear-up. Which is when you discover that no model company provides scale-thickness undercarriage doors ...
I've got to cut them all off and clean them up before I can paint. The NLG has the wheel integral to the mechanism, so I'm just going to try to clean it up, found off the square corners, paint it white and then try to paint the tire.
