Individual links? I always assemble first and paint later.

I will usually assemble them with liquid styrene glue, (Tamiya/Tenax/Proweld etc.) I will do a run of say twenty links, let them sit a bit so they are solid yet still a bit pliable. I will shape it to the sprocket and then while it's sitting, do another run and attach it to the first, shape it to the road wheels etc. and continue this way until I have half of the track run complete from sprocket to rear idler and holding the shape.

When solid enough to handle, set them aside and work on the other half of the track run, starting on the sprocket tooth the other run ended on and continue around in the same method until I end up on the rear idler where it will meet the first run. All the while, shaping the tracks to the sag you want around the return rollers.

Lastly join the two halves together and glue the joints. If you are careful you can join the two halves at one end only and still be able to remove them as one solid yet flexible track to make painting of the road wheels easier, like in the picture below.

HTH