Phubarr
I think the advice that paint and colour has minimal effect is good advice, except that accumulated rust will eventually become a real insulator, and paint will prevent the rust buildup.
You cannot anodise steel or iron. Aluminium and some aluminium allloys are the only materials that respond well to anodising, although, I think magnesium does respond with mediocre results
On the exhaust and brake rotors, you will need a very temperature resistant paint, typicaly called ceramic coatings. you might get away with VHT coatings on the calipers.
Having said all this, I wonder about your original premise that disipating heat will improve performance.
Re Exhaust
I expect that if you dissipate heat from the exhaust, into the engine bay, you will heat up the other components, including fuel and air, thereby decreasing performance. Heat contained within the exhaust does no harm, and is best disposed of via the exhaust pipe outlet, behind the car, hence you should infact insulate the exhaust. This is done by many racers by ceramic coating or by wrapping in fiberglass. creamic coatings protect against rust, while wrapping in fibreglass encourages rust.
Re disk rotors
These will benifit from being cooled, however any coating will quickly be worn of the friction surface. Other surfaces could be coated with a heat dissipating ceramic, but the gain will be very small.
Re calipers.
If they get to hot, the fluid boils.
You want to get the heat out of the caliper, but prevent heat entering the caliper from the pad and rotor, hence, you insulate between the pad and the piston and the piston and the caliper and the piston and the fluid, but you want to dissipate heat from the outside of the caliper, so you aid dissipation between the caliper and the fluid, and the caliper and the air.
Re wheels
The wheels can act as a heat sink for the brakes, as well as influenceing airflow over the brakes. Obviously aluminium is a better conductor than steel, and open designs aids air flow. lotts of fine spokes or a fussy pattern will aid in heat dissipation Regards
pat