I cleaned my rims & painted my calipers with a friend of mine. I used lacquer thinner for the rim & such. It doesn't do any cosmetic damage, and it cleans really well. Take some shop towels & lacquer thinners, and it'll do just fine.
I took an 18V cordless drill and a steel wool bit to clean up the inside. You can do it by hand, but it sucks. However, I sanded off the paint that way. It worked to clean the dust out regardless, and after all, it'* just the interior of the rims. That was probably bad, but if you coat the rims after sanding, they don't collect filth as much.
To paint the calipers, you can use caliper paint right after sanding the area. I took mine off to paint them, but wherever you get the fresh paint, you can clean it off with brake parts cleaner - especially the rotor.
94 STEi and 99 SLO