Chris
Bad cop
I personally wouldnt paint a wheel-bolt. Thats going to look even more of a bodge ( @ Jimmy ) than the wheel-nut covers imo !
BUT- with Titanium nuts or Anodised aluminium nuts on motorbikes that i havn't wanted to mark when doing them up - i've either jammed some tissue or a bin-bag etc between the nut and the socket head then done up in one smooth motion keeping pressure applied (As opposed to not having multiple small 'pulls' in order to tighten.). Always worked well.
But just dont paint your nuts and none of this will matter.......
A couple of light dustings of spray paint surely won't look a bodge?