Spackling is a stage that comes after hanging your drywall and Yes, it must be done before you paint the walls. I am guessing these are new dry walls you are talking about. Am I right?

Prior to any painting project its always a good idea to make any minor repairs...filling in nail holes, correcting bad corners, fixing cracks, etc.

A new layer of paint will not hide these deeper flaws, Its a little more work when working with textured walls but I feel its worth it.

You should have everything done to the wall that you are going to do to it, including extensive cleaning, before painting it. You do not need to 1-coat your walls with spackle (mud) before painting unless there is damage to the smooth wall surface, usually from wallpaper removal, patch-ins, etc.