you can paint them without disconnecting them fully from the car (leaving the brake line on) I have helped my friend do it on his 08 gt and it turns out pretty darn good.

The next best approach is powdercoating which will take down time, in that case I am with you on buying a spare set and sending them off to be done.

What color are you going with?

hmm i think to much orange can be bad caliper wise. If you look at the caliper you will see it has a top part and a bar that goes across the area right near the middle of the rotor where the rim is. You can leave the lower part of the caliper unpainted (or rather paint it black) and paint the top part orange. They also make stickers that are in the shape of a GT or a runing pony (Lisa's black/red strip mustang has this)

If you dont like it... its easy to undo though so not a big deal. also you do not need to paint the brake pad that you can see through the caliper thats a no no.