I paint before I remove from the sprue after trimming any excess sprue away that might interfere with the job.

Once I am done I seal the job, carefully touch up where the figure was attached to the sprue, seal, and there!

I should add carefully remove the figure before touch up.

I also paint my plastic cavalrymen the same way Wayne has mentioned. I find this easy enough and convienient. Most sprues have the figures held between the inner legs and also by the upper body. I trim off the sprue from the upper body, and put a sort of pre cut in the area where held between the legs, not enough to seperate it completely but enough to create a weak link. Then once painted i can remove the figure a bit easier.

However, I have yet to find a way im happy with of painting metal cavalrymen (Newline/Kennington etc) which are loose without any sort of sprue. Id be interested in knowing how others paint figures like this.

At the moment i just hold the heads, paint the majority of the figure, glue to a finished horse & then finish off painting the cavalryman.

I hold the head and paint the lower half. Let them dry then hold the leg and paint the upper half. The only "damage" might be to toes and heels, which can be touched in once glued to the horse.

Find a way that suits you, even if it might not suit others