If the rims are aluminum, you'll need an aluminum-compatible primer before your color coat. If your rims have eyelets, you'll want to mask all of them off, too. They're usually steel, sometimes stainless, and really tough to paint. You'll have to disassemble the wheel, clean and sand it, clean it again, mask off everything you don't want to paint, then primer and paint. Once the paint is hardened, you'll have to relace the wheel, taking care not to scratch your new paint. That's an awful lot of labor when you can buy colored rims from Velocity in many different colors and patterns:
http://www.velocityusa.com/default.asp?contentID=717
