Does the front bumper come with fog light holes already cut?

No. The front bumper ships as a solid panel in raw FRP condition. You'll need to reference your OEM bumper opening locations and cut or drill as needed before installing your bumper lights. The OEM lights themselves are not included in this kit.

Can I paint each piece separately, or should I assemble first?

Paint each panel separately before installation. This gives you better coverage on all edges and seams, and it's faster than trying to finish them on the car. Once primed and painted, each piece bolts to the vehicle independently, so there's no assembly required beforehand.

Will the side skirts interfere with the factory jack points?

Check your vehicle's OEM service manual to locate the jack points, then test fit the skirt panels before final installation. The Bomber profile is relatively modest, but every installation varies slightly based on how tightly you mount the panels. A quick test fit with the wheels off takes the guesswork out.