Do I sand the WHOLE light assembly before priming the part that I am painting, or JUST the area that I am painting?

What # sandpaper do I use to sand before priming?

I know that I wet-sand the whole thing prior to clearcoating, so I assume that that will be the only sanding that I do to the actual lenses.

Don't sand your lenses! Just paint directly over it man. For a non-permament solution, you can get red vinyl tape and put that over. It looks just as good... if you put effort and do it right. Just search for "red out" or something, I've explained the process many times. I have used paint to candy out lenses before... for and RSX, but its the same process. no need for sanding.