I was scared for awhile before I finally jumped in and did it... and then I regretted not doing it earlier. It's not that difficult - just prepare well and you'll be fine.
So here are some of my opinions...
Paint - absolutely! What color is your car? You don't have to paint them black - one of my favorite sets of lights I've seen were color matched CV. Personally I color matched mine PXR, but since that is black most people wouldn't even know the difference unless they got close. I probably could have saved some money and just used some off-the-shelf black paint. One thing I will say, I personally don't think you need to clear coat it - as a matter of fact, a matte finish may be even better. You'll notice why once the halos are installed, as they tend to reflect pretty badly off of a shiny housing (and REALLY bad off of a stock chrome housing - which is why paint is a must if you ask me). With a matte or at least a non-glossed finish is on the housing, then the halos tend to "float" and just simply "pop" a little more IMO. They're just a little sharper when you take away the reflection.
And you can also get creative if you decide to paint... I added a Mopar "M" decal to the housing before painting - leaving a chrome "M" in the housing...
As far as cracking them open - OVEN. Never actually heard of someone doing it with a heat gun, but I guess it could work. Much easier with an oven as you get even heating, so once it starts to separate then the whole thing peels open. Think I kept my oven around 240 or 250. And 20 minute intervals in and out, until I got them open. First one took probably 3 or 4 intervals, second light only took a couple as I built up my courage as I went.
For sealing them, I just used clear silicone. And a lot of it. I wanted to make sure I had a good seal - and I've never had any condensation problems since.
The original step-by-step I used that gave me the confidence is the old nick danger video...
Have no fear - go for it!
Hope this helps...