You can definitely do them on the car w/out removing them. Removal makes it easier but not necessary.
Definitely put clear on top of the decals. Since you're spraying, take some old sheets /drop cloths and cover the body of the car or you'll create another detailing project for yourself
Foil is very handy.......... plus it's easier to shape and work into all the crevices
Some Random tips:
You'll need at least 2 cans of brake cleaner... I used 3 and probably could have used a 4th.
Once your color coat is dried (overnight) use painters tape to make a base/reference line for the decals on the caliper. The decals are pretty much a one shot deal so the tape helps you line it up before you apply.
A hole punch (like for notebook paper) is the perfect size needed to cut a piece of tape to cover the brake pad retaining pin.
You can (and should) pull the bleeder valve dust caps completely off the calipers. A quick piece of painter's tape around it will allow you to get good coverage behind and all around them.
If you do pull the caliper off, you might consider pulling the rotors too (2 screws) and painting the 'hats' at the same time.
While the wheels are pulled and you're waiting for the paint to dry.... use the oppty to thoroughly clean the wheel well liners.
Good luck and definitely post pics of the results when you're done.