Yeah, painting Legos is out.
I've never done anything like that other than to write on some of the little flags. But nothing beyond that. I have used decals from other models to put on my model cars, but that's about it. This is one more thing I like about modeling skyscrapers using Legos. It's not always an easy thing to do and there's always the chance that a building could be unbuildable. Some buildings that are round are pretty much off limits to being able to be built. I've gotten better with angles and different ways of acchieving setbacks, though.