I have painted clay many times too. Both pre and after baking. Sometimes both. But.... the paint doesn't always adhere to the clay. Depends how thick your paint is I guess. Very thin, like say antiquing something where your going to rub off the high points, it is pretty well set. But thicker paint, can peel off just like plastic wrap. The clay is porous so where the paint sinks into the little pits and texture of the clay it will bond well. But thick paint might just lay on top and can come off fairly easy. Baked or not doesn't seem to matter.
Just know what ever your making and how much handling it will get. A statue won't get rubbed much but a bead or button? Might not be so good without sealing it first. Verathane works well for that.