I did mine off the car. I used the G3 Epoxy Paint system (Red).
Removing the Calipers is an easy job and has a couple advantages. It's a good time to flush and change the Brake Fluid. Also, $1 at a hardware store gets you 4 bolts which match the Brake line thread and allows you to mount the calipers (in my case through the holes of a shelving unit in the garage) this allows you to rotate them for easier painting w/o having to touch them. Also, I suspect that removing them is really easier and less time consuming in the long run than having to carefully mask everything off (especially if you find out after the fact, that you weren't that careful).
As in all things painted, prep is the key. Brake cleaner is a must as is a wire brush (preferably on a cordless drill). This removes all brake dust as well as any rust (which will eventually work it's way through the paint). I spent at least 30 min. on each caliper.
The G3 system is pretty good, but depending upon temp/humidity, your working window can be as little as 3 hrs. once you mix in the hardener. It's enough time to do 3 coats if removed and mounted. I cannot say about keeping them on the car as I didn't, but I know I would be much more rushed if I had done it that way.
There are stencils and labels available. I went with labels because it was easier. So far, after 2 years, they are holding up great.
From my experience, clearcoat is an unecessary and possibly a negative step. The epoxy is very high gloss and has retained this. Clear coat is an extra step, and it's prone to flaking and cracking because of the constant heating/cooling of the calipers. I wouldn't do it, but you could always do it later if you felt the need.
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