Don't bother with having the tape follow the threads, wrap the tape around the threads as if the threads were not there. I would suggest 5 wraps (as other sites I've read has suggested as many as 7 wraps because most tape is so thin today). Something I find that helps prevent leaks is to pre-seat the tape before you connect the pipe. Basically, take a towel, a piece of cloth, or your shirt and put it in your hand and make a loose fist. Then screw the taped pipe into the hole of your fist. The idea is to help push some of the tape down in-between the threads. Then after you've pre-seated the tape in the pipe threads, screw the two pieces of pipe together.
As for turning on the valve, I don't know that it makes much of a difference. Obviously you will need to get the air out of the pipes as some point. If it isn't while the main valve is open, it will be when you run the system the 1st time. I usually turn the main valve on and run each zone for about one minute to get all the air out of the whole system.
The instructions on the "glue" I've used is to 1st use the primer and let the primer dry. Once the primer is dry, apply a coat of "glue" to the outside of the pipe and a light coat of glue to the inside of the fitting. Immediately connect the pipes giving them at least a 1/4 turn. Then hold the connection for about 30 seconds to give the "glue" a chance to catch hold so that the pipe/fitting don't try to come back apart. The other thing I've learned is that as the "glue" cures, the pipe will try to twist back (opposite the direction of your 1/4 turn).