I've had success with both painted and unpainted.

I do like to take the shine off tungsten, if for no

other reason than because I want to...

 

So I bought some heat-activated black "paint" powder

at BPS. Works great...but leaves me with a black 
shine, LOL. But it doesn't make a diff to the fish as
far as I can tell. I tend to favor black over any other
color for weights.

I had a grand plan to keep all of my tungsten worm weights color coded by weight, alternating dark green and black, just to keep them all straight.  This plan failed when it encountered a good deal on weights in the "wrong" color.  

 

I would like to get into painting my own weights, I have an idea to make some compact but heavy inline spinners using tungsten worm weights as the bodies, but I want to be able to paint them bright chartreuse.  I don't need a fluid bed rig but they are cool enough it might force my hand.  

Nail polish in every color for a dollar or so works fine.