If you want to brush on paint, take a look at the Vinyl lure and jig finish.
Janns Netcraft - Vinyl lure and jig finish
I like powder painting my jigs. Jannís Netcraft has a good selection of powder paint at a great price. The link below has some instructions on how to powder paint the jig heads as well.
How to powder paint fishing lures
Powder paint for fishing lures