I usually put the entire model together to play with, then lament my decision when I finally get around to painting it. However, this time my wife made me do it the right way.
I kept both halves of the spirit-hosts separate along with the base of the carriage, corpsemaster, altar, cage pieces and the reliquary. Put them all together after they were (mostly) painted. The cage was really the difficult part to align later. It has some gaps that I couldn't avoid, but they're not overly noticeable.
Also you really have to work to steady the banshees at the correct angle while they glue. Each one only contacts the cage in one spot, which looks great, but is a royal pain to hold while it dries. I recommend makeshift scaffolding with paint-pots and brushes
-aki