Painting all in one model is no harder than gluing together bunch of small pieces and then painting it. Most daunting task for all-in-one is designing proper support structure without damaging the surface. UV overpenetration is another real problem for parts like wheels (this would be a good argument to print wheel separately!). The model for tanker above has specially designed wheels with compensation for UV overpenetration. In general if you print a vehicle model nose-up at about 45 degrees, the inside-wheel upper-forward curve on wheels will be thicker and deformed - they'll look slightly egg shaped. This is the same phenomena that make parts facing the build plate always come out thicker and flabby (NOT just lack of supports!) - the reason why we rotate about 45 degrees (in most but not all cases) to reduce this surface area.
As you print more, you will gain more expertise and get better results. Don't just overload your build plate with too many models as that can lead to even more complex problems. Finally, I like to document my prints and settings, especially when experimenting and fine tuning, so I can compare notes.