Step 1
First thing to do, make sure you have the right tools, you will need: a good hobby knife with a variety of blades, at the very least numbers 1, 5, 10, and 11, number 11 is the blade that you will use the most; you will also need a good sprue nipper (this is a clipping tool for removing parts from sprues and is also useful for removing mold spurs), which you can purchase at the better hobby stores; you will need a good set of needle files (minimum being a round, a half-round, and a flat); a pin vice (a very small hand-held drill) with a variety of small drill bits; 1/32 and 1/16 inch wire for pinning parts; rubber bands for holding parts together while they dry; you will need fine grit sandpaper; a razor saw is useful for modifying models; you will need a wire brush for cleaning your files and a soft toothbrush is good for cleaning mold release agent off the models, which you must do before painting (you should clean them before assembly); you will need superglue (both the thin type and the gel filler type); liquid plastic cement; white glue (carpenter's glue is better); five-minute epoxy and slow-drying epoxy; a good putty (I use squadron white stuff) for filling in gaps and mold voids in the models.
If you can afford these further tools, they are very helpful: a Dremel Tool hand-grinder with attachments; a jeweler's saw; tubing cutter; air compressor and air brush; a burnishing stylus; a set of miniature sculpting tools; miniature tap and dye; a very small vice; an Extra Hand by X-Acto (it is a stand with movable clips to hold things and a magnifying glass); miniature C-clamps; a variety of clips (like you use for temporary bag closing), these are good for holding parts together while they dry; spring-style clothespins for holding parts; a good hobby lamp with a magnifier, or a magnifying hood. All of these will make your modeling life easier, but they are not totally necessary.
Step 2
Take your figures when you first take them out of the packaging and scrub them in liquid dish detergent with an old toothbrush, making sure that you remove all of the mold release agent from the figure. Dry the figure thoroughly after you have finished (if you do not remove the mold release agent, superglue, paints, etc. will not bond well with the model).
Step 3
Now that your figures are clean of mold release agent, it is time to clean the mold lines and marks off the parts. To remove mold lines, you can scrape them off with a hobby knife (use a good, stiff blade, not a scalpel style). If the mold lines are too heavy, or on the new pewter models, use your jeweler's files to remove them. Use very light pressure so that you don't file away too much and destroy the detail. For removing mold spurs, first nip them off with a pair of clippers, and then file it smooth, again using caution not to remove details (don't ever use a knife for this, it's dangerous to both you and the model). After you are through with this, take very fine sandpaper (Emory paper is best for this) and sand off any file marks, it is also a good idea to sand any large surfaces you are going to paint to help the paint adhere to the surface of the model better.
Step 4
To assemble your models, first dryfit all parts without glue to make sure that they will fit. If they do not fit properly, you can correct this with the use of your jeweler's files to smooth out the surface, and in some cases, you may have to reshape the surface slightly before the parts will fit properly (you can also do these things to change the pose slightly so that your figure doesn't look like everyone else's). When gluing the models together, you can use superglue for the smaller parts (but it is not strong enough for the larger parts) when gluing metal to metal or plastic to metal. For gluing plastic to plastic, always use liquid plastic cement. When using superglue, do not overdo it. A small amount will work better than a large amount. If you put too much, the bond will not seal, this is also good advice when using plastic cement, but for a different reason, if you use too much plastic cement, it will melt the parts (this is the way plastic cement works, it is a solvent and actually melts the surface of each part so that when they dry again they are one part). On larger parts you should always drill a very small hole in the area to be glued in both parts so that the two holes line up, and pin the parts together with a short-length of brass rod/wire, on larger parts, it is also best to use epoxy and use C-clamps to hold the part together until it dries. The way I put large parts together is after the holes are drill for the pin, I put glue on one end of the pin and place it in one hole, then I glue the other end of the pin and place the other part over that pin. Then I take a thin stick such as a cocktail stick or a skewer and I use it to fill in any gap left by the two parts being put together with epoxy (make sure that you only fill the gap with the epoxy and don't leave a ridge with it, if you do end up with a ridge of epoxy just sand it off smooth when it's dry). Any gaps left when you glue large areas together, like when putting a two-part horse together, is better filled with a good modeling putty, like squadron white stuff, and smooth down a very small Teflon spatula or some other Teflon surface that will work. make sure that the tool you are using for smoothing the putty is kept clean and free of putty buildup. When the putty is dry (you should give it at least 12 hours), sand it smooth with very fine grit sand paper. A mixture of white glue and flour can be used as putty in an emergency.
When basing your figures, it is a good idea to add weight to the base, one old method but that is still proably the best, is to glue a round washer into the bottom of round bases, or a square peice of thin steel into the bottom of square bases, this can be done with contact cement (so-called rubber cement), you just put a thin coat on the bottom of the inside of the base and a thin coat on top of the washer, allow the cement to dry for about 10 minutes, then press the two surfaces together. If you are using the hollow Citadel bases, you can also fill the bottom with hotglue and press the metal piece into it. This makes a good weight and also makes your figure stick to the magnetized figure cases that are on the market. Another good idea is to lay a sheet of thin metal in the bottom of the case you are using for your figures and put magnetic tape on the bottom of your figure bases. Either way, your figures will stand up and not be knocked around when you are moving them. These methods will also work with monster bases and cavalry bases.
You can also use thin sheets of metal, plastic cardstock, or mattboard to make unit trays. Just cut it out to the right size, which will be a little larger than the unit's basing, take thin strips, glue them around the outside edge so that the figures don't slide off, and paint them to match the colour you use for your bases, and you have cheap unit movement trays. I like to leave a small lip on the back that I can put a simple description of the unit on.