all you really gotta do is get rid of any grease/oil or brake fluid you might have gotten on them from installation, the heat from the pads contacting the rotors will take care of the rest. I've never heard of any "protective" coating though.

1999 Silver Frost SVT #609 of 2760 Quaife, lightened SVT Flywheel, SPEC stage II clutch, removed resonator, k&n drop in - various other goodies too.