Will,
I have been working with styrene for about thirty years. It has been a good material to work with. I pieces together using "Bondene". You can get this from Plastruct or at most hobby stores. It is a liquid glue. I apply it with a syringe rather than a brush. If you are glueing styrene to another plastic such as ABS, use "Plastic-Weld Cement", also made by Plastruct.
When I construct buildings, I generally use .040 to .060-inch thick material. I cut it with a box-cutter or Exacto knife. You make a few scribes and snap the material apart. You do not have to cut all the way through. If I am covering the building with brick or other siding material, I buy patterned sheets made of styrene from Plastruct.
I reinforce buildings with horizontal strips of styrene about 3/8 to 1/2 inches thick. Usually one on the bottom and one on the top and every 3 to 4 inches on horizontal centers. I find this to reinforce a building well and prevent warping.
Styrene will warp from heat or just from glueing. It is almost like steel plate in the real world. Too much weld and it distorts.
Grand Line windows can be used for buildings. They are also molded from styrene.
Evergeen makes patterned sheets for siding and sidewalks. The quality is excellent.
Painting can be done with spray cans or with brush paints. I only prime the styrene if I feel a color will not cover well enough in one coat. I typically use Krylon or Painters Touc spray paint.
I think that is enough info to get you started.
Alan Graziano