Most of my models are produced using a material called Frosted Ultra Detail [FUD], this allows detail down to 0.1mm to be printed so a lot of the detail on my models can be quite fragile although the basic shell is quite strong. To find out more about the material check out the specification page on the Shapeways site.
The information below has worked well for me but as always, test on a non important surface of your model before jumping straight in.
When your model arrives it will still have a slight waxy feel to it and look transparent, this needs to be cleaned, there are numerous thoughts on this process, check out Shapeways forum, but so far I have found
non acetone nail varnish cleaner to work well, another product that works well but I am unable to try as it is an American product, Bestine. Soaking your model in either product for about an hour then use a toothbrush for the main body and a smaller craft brush to get into corners and rub the cleaner into the model taking care around any detail [handrails, window bars etc], give the model a rinse in warm water [below 80C/176F degrees] and allow to air dry. When dry you will notice the model surface has turned dry and white [as opposed to the slight waxy feel as delivered] and looks less opaque. You may need to repeat the cleaning a couple of times. Once you are sure that all the waxy material has been removed there may be some powder deposits that need to be brushed away with a dry brush.
Occasionally you will get some light surface banding, this can vary even from model to model depending on the way the model was orientated when printing and can be more pronounced on sloping surfaces, Shapeways do not allow how to specify the models orientation for printing, companies that do allow this generally charge much more for the same model. Careful work with fine grade wet and dry will easily remove this banding.
I then give the model a coat of Tamiya Fine surface primer spray and complete painting as you would for any other model.
Here in the UK we have a company called Phoenix Precision Paints that sell a product called Super Strip, I have also successfully used this to initially clean and also strip a painted FUD model without damage.