I think it is only worthwhile after the calipers age, become caked in dust and grime or rust. Otherwise, the OE finish looks pretty good. If you don't use good paint, or don't apply it well, the paint doesn't hold up to age too nicely.
Also, I prefer subtle colors. Black and silver are good choices. I recently had the calipers off of my MS6 for a brake job. I figured I'd paint them, since they were looking a little ragged. But, Brakleen and a steel wire brush cleaned them up so well, I didn't bother.