This is what I thought as well...but in reality this is an incredibly EASY thing to do.
Step one: Jack up car and take wheel off
Step two: Remove as much dirt and brake dust off the caliper as possible this will help in keeping your new paint tidy for as long as possible
Step three: using a rag/newspaper, cover up the exposed parts of the brake disk. what you want to do here is pretty much cover up anything you don't want to paint, in this case it's everything except the caliper itself.
Step four: shake and spray baby.....let it dry and give it a few coats for a nicer look.
Step five: put every thing back together, after the caliper is dried of course!
This method took me about 10-15 minutes per wheel, and about an hour in total.....can take you even less time if you have more than one jack
Once you've finished take the car for a quick drive and use the brakes a bit....but don't be alarmed if a nasty smell arises, this generally means you have hit part of the disc with some paint and the smell will disapear in a little while (unless you went to town on the disc).
Only if you're really dedicated about this should you remove the caliper itself. Even then it just makes cleaning it a bit easier.