I'd drill the body neck screw holes out bigger first. Whilst it's unlikely, there's always the risk of the finish cracking around the holes when drilling them out. Which if covered by the neck plate isn't a big issue, but if a crack runs so that it's visible, then it becomes more of one. So best to do it now, where there's no risk of that, and if you do get a drill slip, you can touch up the body before the finish goes on.

Having said all that, I'd probably still wait until I'd done the finish before drilling the bridge screw holes, as you want to include for any slight offset on the neck angle that the finish on the neck gives. If the finish is brittle (I use nitro and that can be), then it's worth using a bigger full screw-thread width diameter drill bit to just widen the holes at the top to remove the finish around the holes, as I've found that screwing through the finish into the pilot holes can occasionally cause the finish to crack. So now I always enlarge the holes at the top to remove the finish from the screwed area.

Paint in holes can be removed by gently running the same-sized drill in them again. It's water you don't want to get in those holes when wet-sanding, so best to plug any holes with beeswax before wet sanding. It doesn't take much water in a hole to swell the wood and split the finish. The wood will shrink back flat again when it dries out, but the finish will remain cracked.