I always assemble the marines completely, and then paint them. With the exception of vehicles, I tend to do this with all my models. I find that once it's painted, gluing stuff together tends to A) mess up the paint job and B) not stick on as well.
But hey, do whatever works best for you. Although I will say that it would probably be easier to paint certain places without the bolter being held. I'll give it a try one day, and see how it works for me.