Have seen a few guys do it, not sure what they used but I would think you need something durable like powder coat. It looks pretty good I'll try to find a few pictures of a couple I have seen.
A quick look all I could find was a photoshop.... Second picture down in this thread.
Here is one that is real.
X5M, Eisenmann exhaust, 22" HRE wheels, catless down pipes, Stage II tune/X5 Diesel, Lowered & Tuned