I would like to have a rustic look to my condo in the mountains. All my windows have white painted mouldings. Should I remove the paint and then treat the natural wood? or would it be easier to just remove mouldings and start over with new wood mouldings?

Yuck... paint removal is such a messy undertaking.
Just clean and prime and your ready to go with creating a rustic looking window frame.

For some simple directions check out: Rustic Look Painting Have Fun...