I painted them with the tires on. In retrospect, I kind of wish I had done them without the tires on, but I had talked myself into worrying that they would get marred up during mounting, and I didn't want to deal with that possibility. I think if you find a good shop that uses plastic mounting equipment, this is a non-issue.
I used index cards stuck into where the tire meets the wheel. I didn't put anything else over the tires, but I should have, because there was a small amount of paint haze that drifted over the cards and on to the tires. It scrubbed off, but it took a fair amount of work and it would have been easier to cover them with something (newspaper taped in place, cut some cardboard to shape, whatever).
Biggest tip I can give is just to make sure that you don't put the paint on too heavy. I found this to be kind of hard with the MS3 wheels, because they have so many spokes. To cover each spoke evenly, it was hard not to overlap the spray and put it on too heavy. It's better to go on too light with a coat and have to put another coat on top of it than to put it on too thick and have it run (I had a couple of runs I had to fix, which meant I had to wait a week for it to dry, sand it down, and re-paint it).
Also, try to avoid shaking the can/changing direction too quickly while you're spraying, because this can cause small droplets to spray out, instead of a uniform mist. Again, the key is to have a smooth, even motion, and you want to error on the side of not enough paint, rather than too much.
As with any painting, the most important factor is the prep work. You need the surface squeaky-clean, any grease on the surface will keep the paint from sticking. Also, you really want to let the paint cure for a couple of weeks before you put the wheels back on the car. If you don't have an extra set of wheels, I'd see if a friend has a set you can put on in the meantime while you're painting.
I did 3-4 coats of color, meaning an initial couple of light coats, then 2 thicker coats for a more uniform, glass-like finish, followed by 2 coats of clear. The clear had a tendency to go on thicker than the color for some reason.
One other thing: safety! You want ventilation, but you don't want too much because it will blow dust on to the paint. Best thing is to work in a big space that's ventilated (like a basement with windows open 10 feet away or something). Also, buy a respirator. I got one for $15 from harbor freight, and by the time I was done, the filters were stained bronze. This means that without the respirators, my lungs would have been stained bronze.
Let me know if you've got any more questions. I'm not an expert by any stretch of the imagination, but I learned a few things along the way. The nice thing about doing it yourself is that if you don't like it in a few years, you can always re-do and not feel bad, because you didn't spend much money.
Here's a few pictures of the wheels mounted on the car:
