the former - clean each panel/section to metal, add filler/metal where needed, rust protect then apply etch primer
apply primer-filler (and sand/re-apply where needed) then paint the whole once you've done all of the above to all of the car.
you should store etched-primed material in a dry place until painting starts.
etch-primer takes longer (if left unpainted/primer-fillered) to start rusting than plain primer on top of bare metal - but will eventually start rusting