Like I had mentioned before, the bays have to be finished while away from the dollhouse because of their tiny size. It will also make it easier because of the window mullions, to be able to work with the bays uninstalled.
Before the bays can be installed, you have to finish their interiors completely. This means that the windows will also have to be installed before installation.
I primed the bays interiors first and went ahead and painted the mullions.
I then applied wallpaper to the tops and bottoms of each bay wall. Do not worry about the sides because they will be hidden by the window trims. Just apply your wallpaper as close to the top and bottom window edges as you can.
You do not have to take out the huge wallpaper paste tub for this, in fact, I don't recommend it. Wallpaper paste is very thick and these bays are extremely small. You do not want to overload the tiny scraps of wallpaper you have to use on them with a heavy paste. A little bit of tacky glue spread with a foam brush or even a glue stick will work fine for these tiny areas.
While that dries, you should prepare your bay wall opening. This opening does not have any interior trim to place around it so you want to make sure it blends with your wallpaper as closely as possible. I painted the edges of the opening blue after I sanded them. You can use any color similar to your wallpaper to do this with.
I could have wrapped the wallpaper around this opening when I wallpapered the room, like I did for the Beacon Hill Dollhouse bays but this dollhouse is just so tiny that it wasn't worth the extra work. The edges of this opening are extremely unnoticeable because of the small scale.
This dollhouse does not come with pre-cut windows. You have to cut the windows out yourself from sheets of acetate plastic that come with the kit. I suggest you use your interior window trim as the template to do your cutting with.