Many people have painted their wheels with the tires mounted, but I personally dismounted and then took one day for prep (my wheels were badly chipped and scratched from rally-x) and another day for painting. I think it's a bit easier to not have to tape much off if you dismount the tires.
Also, then you can have the tires rebalanced with tape weights on the inside so you don't have a tacky wheel weight that is painted over - the wheel weights will just barely clear the calipers. Just make sure they are a low profile wheel weight. THe ones that Discount Tires used were small enough to clear the calipers just fine.