Definetly wrap.

Wraps are not heavy and certainly not expensive if you buy them from the right places. Such as bowmanhunter. $5 per dozen.

They are also so much easier to roll on the shaft than having to tape one up and spray paint it then let it dry and finially getting to fletching it.

Wraps also keep the glue from adhering to the shaft and makes stripping much easier as you don't have to scrape the glue and risk damaging the shaft.

I have done both and have found that wraps are much easier to get off the shaft than paint is. There are also a whole lot more color options available when using a wrap. Wit the spray paint the best you can hope for is a fade or two.