Yes, you are really just painting the heat shields and I've painted them twice unfortunately. The first time around, I used VHT high heat (2000 degree) paint. I scuffed the shields with 600 grit paper and painted them without priming. The guy at The store said it was "self etching" and I wouldn't need to prime. I don't know if it was my not going heavier on the grit itself or the paint, but it started coming off around the rear pegs from passenger foot rubbing immediately. Horrible job on my part. As a matter of fact, I sprayed the shields with a grease and wax remover when prepping them for repainting and the paint came off with a rag.
The second time around, I scuffed the crap out of them with a much heavier grit block until they looked like brushed nickel if you know what I mean. It was a "medium" grit block from Home Depot and it wasn't marked with a grit rating, sorry. Anyways, I primed with Rustoleum high heat (2000) primer and Rustoleum high heat (2000) paint. Our weather has turned colder since and I haven't gotten much of a chance to test it over time, but it seems to have bonded much much better.