Funny that this topic came up today. I just spent part of Friday and Saturday last weekend, one by one pulling each rim, cleaning rotors and calipers, taping off, removing each caliper then painting each rotor and caliper with Gloss, High Heat Engine Enamel Black. Big job for sure, also chrome polished inside of each rim since it was off but I am just a little picky about stuff.
When done your rotor impact area will burn off and leave very clean lines around interior rotor area leaving it very clean and looks good through outer rim. I usually paint mine with High Gloss Balcak Lacquer with clear adn it has always held up on other cars but went with less gloss on the VX.