I am in the midst of setting up to convert up some eldar and have been looking at the models and wondering the same things.
Typically the gun arms are extremely close to the chest pieces and the collars on the torso make getting to the back of the head more difficult. Normally I have always been a modeller who assembles the whole model and then paints it. However I am really considering trying to perhaps pin the arms and then allow them to be disassembled for the painting stage.
Another reason I want to try it this way is that I never have and it could be a very useful experience. I would suggest trying both methods. im sure you will find pros and cons for both, but then atleast you have first hand experience of both ways and can decide which is best for you