When I have done this in the past I have used caliper paint as already said, but also used JapLac available from B&Q. Its best to remove your wheels as you could end up missing bits of the caliper or even worse painting the wheels.
Here are some picture of the last ones that I painted, this is one coat:


This was on my TT. The basic procedure is:
1, jack up the car and remove the wheel, supporting the car with axle stands.
2, clean the caliper and the surrounding area, using a product that wont harm the brakes.
3, allow to dry well.
4, paint with desired paint and let it dry, 2 coats may be required.
Process takes a couple of days to do it properly.