Leave assembled. That way there's no chance of barrel vise/wrench marks in the finish.

Regarding polishing, as AFRO408 says, it's pointless to go too fine, when polishing for a rust blue. 320 grit is easily fine enough.

Edit: Open to all. If you're interested in rust bluing, PM me your e-mail addy. I've written up a PDF how-to doco, on making up of a well proven basic aqua regia/iron rusting solution, with references. An expansion of a post I put up here in '05. This requires sources for concentrated Nitric [and maybe Hydrochloric] acids only, of the hard-to-source components.