Good choice on the airbrush. I've used Paasche's VLs since I was 15. It's probably not the fanciest (like Iwatas) or even the most point-and-shoot (like the Aztecs), but it's a great little tool, and pretty darn durable. With the exception of the needles and tips, which are cheap to replace, it's built like a truck. One piece of advice: if you're careful, you'll almost never need to disassemble and clean the valve that controls airflow. If you clean the paint out towards the front, you shouldn't ever get paint in there, which is good, because it's kind of hard to reassemble (small, soft screws that are easy to cross-thread

). That assembly also has a little rubber washer in it that you don't want to dunk in thinner/turpentine. You can submerge the front half of the brush if you want to, just not the air supply stem.
You'll have a ton of fun learning how to use it. Look at some of the posts people have put up on these boards about thinning ratios, air pressure, how different thinners affect drying time, etc. Once you learn that stuff, you can get a really smooth, glossy coat, or have the paint drying in mid-air and creating an even, near-microscopically rough surface that's dry to the touch the minute you stop spraying.
As to the assembly/paint question: it's definitely a matter of personal preference. As is the order in which you assemble things. Most instruction sheets, including those from Tamiya, will have you build the suspension, including tracks and road wheels, as the first step. I think that's nuts. You can't possbily paint the lower half of the hull once those things are on! Look at the instructions, then assemble in an order that makes sense to you. Good luck, and, most importantly, have fun!