You definately need to clean the calipers really well before paint. Personally I find insignificant looking dirt or even nicks show up horribly even under a few coats of paint. I hit them with brake cleaner, a soft brush and then wet sand them with 1500 grit sandpater, follwed by 2000.

If you have big nicks or fouling then you sand down with a more aggressive grit, and work back up to 2000 using the next closest grit of paper wetsanding. Change direction of sanding 90* between grits. You can also get rid of the rough finish of the casted peices and also any casting marks by doing this same process.

Conveniently, this is the method you use for polishing aluminum anything.
I have polished calipers on my other car like this. The only difference is that if you are going to leave them polished, you would hit them with a buffer and some compound instead of a spraycan of your color of choice.

Here is a shot of one of my calipers about 1/3 way through completion:
http://www.fquick.com/images/vehicle...jpg?1166407681

Either way, you want to hit them with a few coats of hi temp clear in the end.