It can be done, but by the time you clean and mask with the calipers in place you may wish that you would have just removed them anyway. It is just not that hard of a job to bleed the brakes. Many have done what they think is an acceptable job without removing them, while others have reported that they did not obtain an accptable job working around the rotors and pads.
If you do decide to paint them in place, clean them up carefully with brake clean spray and a small wire brush (the size of a tooth brush). Mask off the stuff you don't want painted with rags, paper towels, newspaper, and/or masking tape. Make sure that you sue paint that is up to the task. It should be at least hi temp paint and preferably brake caliper paint.
