It is your call as to whether or not to paint them red. Personally I don't even like the red calipers on the GTI. It isn't as if they are special high performance calipers that require attention drawn to them. IMO black or a very dark grey look best since those colors hide dirt and clean up the area behind the wheel.
As far as paint goes...I've had very good results with Duplicolor engine enamel on brake calipers and other suspension components. They offer a wide variety of colors if you want to spice things up.