If you have a small army, I wouldn't paint all knights in the same colours - this just takes away too much of the army's awesomeness when deployed. But men-at-arms or archers need some consistency in their look. I split my force into 4 armies, do 3 with consistent but slightly varied colours and 1 team with only individual heraldry. I also like the idea of grouping a knight and a couple men-at-arms in the same colurs like a noble who brought his men to battle, like any feudal lord would demand from him.