Murph, I have done it both ways. If you have the time, take them off and maybe, if needed, change your brake pads while you're at it. Hang them from a wire and cover the disc and other wheel parts up with a rag and use blue masking tape where ever you don't want paint. My stock calipers have some sort of rust proof coating on them and the paint really doesn't stick all that well, hence the repainting every couple of years. See the link below, it's to a site you might like. They have some pretty wild colors. I had them send me an orange sample chip of their paint, but I never did order it. If I ever have to replace my calipers, I most likely would get it then.