I do tank road wheels on the sprue, very little else. What I will sometimes do tack little parts onto a piece of plastic with super-glue after I’ve done all the sanding, tacking on the areas that will be hidden by the glue joint when finally assembled.
Nothing on the sprue for me not even roadwheels for all the reasons mentioned so far. Painting everything twice is double work. I use upside-down masking tape after I clean all the parts up. Paint one side, let em dry a little, flip everything, and paint the other side. hit all the attachment points with liquid mask beforehand too.
I leave some of the small parts with small attachment points on the sprues, but only sometimes. I usually use a piece of styrene rod as a handle and glue the part temporarily. Works well for me.
I used to paint on the sprues, but as said by others, then you need to repaint after attaching.
Nowadays I use all sorts of clamps, toothpicks and tape to hold the object that I am painting.