I think it really depends on the context the wheels are in.
Are you doing a complete frame-up resto with fresh paint, chrome, polished bits, or are you just spray-bombing things to cover rust and make the bike look good from 10 feet away?
Taking the wheels apart and having the rims powdercoated or something is the highest quality, most expensive way to go. Although, the cost of coating the rims wouldn't be that much compared to buying cans of paint etc. and rolls of masking tape, and taking the wheels apart/reassembling them is just your time.
If you go the masking off route, completely mask off your tires. I've seen this done with overspray on the tires, clearly showing where the strips of masking tape were after the fact. Don't paint your tires, even if you're using black paint. It looks REALLY bad.