I'm a "pre-driller" and I drill before any finish (stain/dye/paint) is applied at all. The neck has to be in place in order to lay out the correct placement, but I just mark the hole positions for bridge, pickguard etc and drill without the neck in place.Also, for those who pre drill... Do you pre drill and mount the neck too? On all my builds so far, I have had the neck bolted in place before drilling for the bridge. It's been one of the reasons for not drilling until the finish is on. Do folks who pre-drill actually mount the neck first?
The second thing I do is slightly bevel the top of the holes (countersink). This minimises how the paint or clear coat builds around the opening, so when the screws are turned in, it minimises the risk of the paint/clear lifting from the action of the screws "pulling" at the finish.
The critical step I take is before wet sanding the paint/clear, is fill the holes with bee's wax. The wax prevents water going down the holes that can cause swelling around the holes. Any excess wax that may smear will wipe off with a bit naptha on a rag. Also the wax acts as a lubricant for the screws.
As for grain filling after staining, I would have intuitively advised against it, but looking at the Aquacoat website, it says it can be done pre or post. If I were using it, I likely would do it pre-stain, but I guess I'm old fashioned that way.