If you do paint them so that they are shiny and match your car better, be sure to clean (degrease) and sand them with some 400 before shooting them. I don't know that you need the clear coat, but that's up to you. I don't know why the screws would be such a problem if you don't put a ton of paint on there. However, JW knows more than I. Just be sure that area is really clean before painting. I wouldn't hurt to have the lights properly adjusted beforehand and just loosen the retainers leaving the screws in place as much as possible. This should allow some tape between the lens and the ring.
It's been awhile since I've had some of these on my bench, so I hope I know what I'm talking about.