I went back and checked my build thread.
I did no prep whatsoever for the body tubes. The vinyl stuck to the glassine just fine, and no spirals showed through that I can see. That is one place where you can save your effort.
The fins on mine were basswood, which don't require as much filling as balsa. Nonetheless, I did apply a heavy coat of filler/primer to all the wood before painting. For balsa, I would definitely fill it before painting. Paint on bare balsa tends to come out rough and not glossy, in my experience. I would be inclined to do something like CWF, but then probably skip the filler/primer step. You're not looking for ultimate perfection, but just a decent smooth glossy surface for the vinyl to adhere.
I suppose you could also try just doing filler/primer without CWF; I don't know how well that would typically go with balsa. On the basswood, it did decently well but definitely did not completely fill the surface; balsa would most certainly be a bit worse.