Powder coating works well too, and it's more durable than paint. Don't know if the shade of blue you want is available in powder, however.
If you do go powder, make sure to pull the pistons out of the calipers, and plug their cavities before cleaning & coating. McMaster Carr sells hi temperature silicone plugs in all sizes. As you probably already know, powder has to be baked for it to melt & adhere well, and the soft o-rings on the pistons won't take to the baking very well. Nor do you want to risk getting any powder on the pistons, or in their cylinders. Besides, it's a good time to rebuild the calipers.
I nearly decided to disassemble the caliper halves and do the coating separately, but once I saw what they looked like disassembled, I decided the masking and plugging was going to be more complicated than doing them assembled. There were some odd looking square o-rings that sealed the two halves, but I left them in place, and they apparently survived fine. That was five or six years ago, and the calipers still work well and look great.
As far as cleaning and prep goes, I'd first run them through a parts cleaner to get the heavy stuff off, then pull the pistons out and plug their cavities and the brake line ports VERY well, then I'd run them through a glass bead blaster to prepare the surfaces for the powder. For SURE, you don't want to run the risk of getting any glass beads inside the calipers and having a piston stick.....
If you decide to paint instead, I would think the surface prep would be the same.
