Either way works. If you are going to clear over, make sure to scuff it and go lite on the first few coats and let them flash off between coats so the solvents don't attack the windshield material. I have done this for years. Blend the windshield in, paint and clear so it all looks like one part. If you need to replace the windshield for some reason it does make it a bunch more work.
From my time building 1/5 rc warbirds, I would avoid clearing over your windshield. Assuming you're using clear plastic of some sort, it will expand/contract differently than the wood around it and probably crack any material you put over it. Just my .02 -Bill
If it's a clear vacuum formed bubble like the canopy of a modern scale hydroplane or ocean racing boat you want to sand the inside starting with 600 and finishing with 1500. When you shoot the clear on it the inside will look very transparent. if you are applying paint on the outside of the canopy scuff the painted areas with 400.