In a nutshell, power coating is a powder that clings to the metal (much like static cling). Then the metal is baked, where the paint melts and flows, forming a durable, smooth surface.
You can do it at home, but you need a couple special items, namely an electrostatic spray gun, an air compressor, and a spare electric oven. You probably also want a sand blaster to clean the caliper surface.
A friend of mine had his paintball gun powdercoated before. It's pretty good looking (but doesn't look as good as anodized aluminum), but it also much more durable than annodized aluminum.
I dunno what rims you have, but if you strip them down, you can probably powder coat them. There are also some guys in the paintball domain who do powder coating on the side and can help you out. It isn't too expensive, it just takes a while. The guy who did my friend's gun went by the alias of SiN and lived in ontario or something.