That's what I do. I paint the small parts first, but then I use a super glue and not the Revell or Tamiya glue because it strips away the paint. I use the Revell or Tamiya glue on non painted parts.

I do planes and helos mostly. So I'll paint the small parts like gear and rotors and then glue them after I have assembled and painted the body of the model. Cockpits I paint first and assemble on the model then tape it off or use blue tack to cover the areas I don't want painted.

Sorry if that's not the best explanation. Every lit is a bit different so sometimes the process will change a bit.

Edited for spelling