I have found it much easier to bend the rails to near enough the correct shape first. I have always used brass wire/rod as the rail material and never bothered to heat treat it. Then thread all the stanchions on to the rails. Finally locate and glue each of the stanchions in turn, making any further small adjustments to the rails as you go.
I found that if you fix the stanchions first, then try to thread the rail through, it jams in the holes and the stanchions get bent or broken.