I just thought I'd give you all a follow-up on this. I put about 600 miles on the car since I did the paint so the wheels and caliper were nice and grubby. I hit the caliper with the hose and the brake dust just washed away leaving a nice, clean caliper. The wheels cleaned up pretty easy too since I have been using 3M teflon wheel cleaner.

That paint comes in many colors besides red so if painted calipers aren't you thing you could always paint them silver to make them look just like stock, except that they clean up much easier. Here's the link to the stuff I used.