Question 1) It's up to you. Some modellers like to assemble the whole tank then paint, they claim is because it'll have the continuity of paint texture and weathering for the tank. Personnally I don't like it.
I do not attach the lower hull with the top hull first. I paint the road wheels and lower hull with base color (and camoflage) separately. Then I weather (add muds and dust basically, and washes) to the lower hull. Then I attach the road wheels.
After attaching the roadwheels, I start glueing the individual track links. For 1 side of track, I usually glue the track into 4 section of lengths:
a) the track lower area until it curved to the front sprocket. (lower front)
B) The track lower area until it curve to the back sprocket (lower rear)
c) The track upper area from the back sprocket to the middle of the length (upper rear)
d) the track upper area from middle of the length to the front sprocket.
The track lower area joint split is at the middle of the length. After that, I paint the tracks and do some weathering. Then I glue the tracks connecting all 4 sections to the tanks. Then I do an over heavy weathering to the lower hull: add mud and dust to tracks and road wheels, oil wash, create oil stains, some dry bushing to the tracks, etc.
After all these, I'll mask the entire track and roadwheel, then only I proceed with attaching the lower hull with the upper hull. Fill gaps with putty, prime the model, then start painting. After everything finish, remove the lower hull maskings, and probably now do some little weathering to the overall tank, and spray top coats if needed.
Question 2) What superglue you are using? If you want to go with my method, which is first glue most of the track links into section, take out, paint, then assemble back, you better don't use superglue. It'll make it rock hard and difficult to curve it to the sprocket later. Use Cement instead. Using cement and glue only small areas of the track together... it'll still be manage-able after primary painting. some track links might drop off while you glue them to the tank, but it's not a problem.... can be fixed.
Question 3) First, clean all the track parts. I like to do this while watching TV (especially watching Ultimate Weapons on Discovery or Tank Overhaul on HIstroy channel). Then glue the track links together. You better measure the section's length that you're gonna glue. Don't glue too many links or too less link in 1 section. Once you finish 1 section, tape it to the model first (don't glue). Then work on section 2, continuously checking and test fitting with the section(s) already taped on the tank.
While you glue the links, make sure you have a exact straight block (or ruler) to constantly check you work... make sure they are straight.
Question 4) Natural sag is the curve due to the weight of the track by gravity. See below picture, on the rear sprocket area... you can see the track dropping down alittle.

If the crews attach extra links to the tracks, it'll look like the photo above. Sometimes they attach track links ngam ngam enough... then the sag will not be obvious. Like this:

This is a model without track sag.... obviouly using vinyl tracks:

And this model is done with track sag:

This one with little sag:

Working on a small tank like PzKpfw 1 on a small scale of 1/72... good luck with the tracks man.... I wish that you have surgeon-skilled hands, good tweezers and good pair of magnifying glasses.
Happy Modeling B)