I clean links, count links for one run / side, and assemble the entire run with cementing, followed by mounting and shaping the flexible cemented run onto the mounted road-gear. I prop the flexible run in my formed position, and let completely dry. I then remove the run and wheels for separate painting. I paint and weather the hull, and paint and weather the wheels and formed track-runs. I add the painted wheels and track-runs to the painted hull, and touch up the weathering as needed.
To assemble the run: Count out cleaned links for one run. Lay down a strip of blue painter's tape on your bench sticky-side up (tape the strip down at the ends to keep it in place in a good working location in front of you). Line up and fit together sections of 10 - 20 links per by sticking a first link horn-up on the tape and adding links in a straight line behind that starter link. Brush the section with a modest amount of thin cement, making sure that cement gets to the "hinge points / connection points". Quickly start the next section while the first sets up. Once enough sections are done, assemble them into the run. Pick each section off the tape by running a knife blade underneath to release it from the tape, and connect each in turn to the first section to complete the run. Cement these newest joins, and wait several minutes for them to set up. Release the entire run from the tape and turn it on edge and "pre-form" it into a generalized arch of approximate idler-to-sprocket length. While holding this arch on edge on the bench-top. Press it down to get all the links in line (that's as much "jig" as one needs here - what you want to achieve is to get all links in line).
While the run is still flexible, mount it on the top side of the already-mounted wheels-and-rollers set and wrap it around the idler and sprocket and bend it under to the ground side. Press in sag as desired, and prop it in place by wedging balls of paper between the fender and the track run. After checking that the form is pretty close, fit the track onto the sprocket and in the correct idler and wheel and roller fits, wrap it under the road wheels, and place the hull and track upright for drying. Do the other side.
It's easier to do it then to actually try to write about how to do it!
Generally, handling and positioning links in the sections is best done using a tweezer. Once you have a feel for how links fit together and what they look like when correctly positioned, this whirls along very fast.
IF the tracks are actually some type of snap / lock-together link set - an "operable" or "working" set - the linking process CAN be the same (stick link to tape and click each next link into the line using tweezers - but NO cement step!) IF they simply snap together - or it may work to actually hold the links in the hand and snap them together. Depends on the set. Track sets with pins are a different thing entirely.
IF the links need to have horns added... This can easily be done when assembling the sections as above, if the horns are cleaned and ready (AND you have practiced how those horns fit into those links). You can also add the horns to the dry formed runs.
MOST "non-working" sets, such as Dragon "Magic Track" sets, go together very quickly using the described technique. Even tiny Pz. 1 tracks work well this way.
Avoid using the hottest cement - Tamiya thin or extra-thin works well, as does Testor's.
Try it out!