I have painted the wheels - sides of tires not the treads. I have done this with a brush, and also masked and sprayed without removing the rods. Both ways work pretty well.
The last 4-8-2 I did last fall did not have a blackened frame. I brush painted all the visible areas on that one.
I do take the shell off the chassis, and remove any screwed on parts to paint separately.
However, I was told a new product about 6 years ago that I have used since for wheels and rods. It is called "NEO-LUBE" It is sold by Micro Mark now, BTS models used to sell it too. It is an alcohol based product with graphite in it. It does two things that paint does not. First the mfg claims that it is conductive, and hence not an insulator. Second the graphite is also a lubricant so if it gets in the bearings it just helps.
It goes on as a sort of metallic grey. On shiny rods, it makes them look like steel. I paint all the silver part with this using a brush. and on that recent mountain, the drivers were unpainted brass, so I did them with NEO-Lube also.
I have never tried spraying it. When I brush it, it does not come out totally uniform. It is very thin, so it is smooth, it is just kind of translucent. Also, you can remove it with alcohol and it will rub off with handling. I don't find the rubbing off to be an issue. It just makes the rods look a little shinier in places.
I also did a 2-10-4 over the winter and used Neo-Lube on it.