Wheel bolts are about $ 4.95 each (dealer list). You can buy a socket that has rubber or plastic inside to cushion the impact. You might try Griot's (sp?). But, you will have to be careful with the torque when tightening. Not sure how to get around that.
I would take M5 deamon's suggestion and paint them black. However, the factory probably heats them after painting to make the paint stronger. You won't be able to do that.
The paint probably got scratched before you got the car ... mechanics and wheel balancing guys wouldn't care. I find the WORST chipping takes place when you drop the bolt on the concrete. I replaced all of mine ... but, when I remove or tighten them, they don't get scratched. It's probably the dropping them that does the most damage. I am anal, and careful. And, I don't let anybody touch them ... I remove the wheels and take the wheels to be changed or balanced.