Done this one as well. Tape everything up (especially all the rubber hoses, caps, etc.), and grab some caliper paint (VHT is a good brand found at auto stores, jcwhitney.com, etc.) The main thing to remember is to tape some old bedsheets to the ENTIRE side of your quarter panel, doors, hood, top and trunk. A light wind and overspray can carry a long ways...
For best results, make sure you do it when it's hot outside and put around 5-6 coats on the calipers. Paint one coat, wait about 20 minutes, then paint another coat. It really gives you a nice, deep glossy look on your calipers, and one that you won't have to touch up for quite some time.
Good luck.
