if you had aluminum you could anodize almost any color, but it would be easier to buy them allready done, probably easy to find since all the hobby stuff like RC cars use alot of decorative colored screws/nuts/shims/ect.
stainless is kind of tricky, i think the only feasable solution for coloring stainless and steel is to blacken it.
check this site for what to buy for that:
http://www.birchwoodcasey.com/
if its galvanized, i believe thats the same thing as a zinc coating, i dont know if those above coatings will 'adhere' to a surface that has been treated with that chemical, might want to check.
as posted above with the powdercoat. the above treatments will add less than >.0001" to the surface area, powdercoating will add alot as its almost like a paint, so it would fill the head of the screw and the threads in. i'm sure you could make a jig where they are screwed into a board, and only the heads are coated. but i dont think you can do this as it is an electrical application system and then its baked.
if i were you i would re-purchase the screws where they werent coated with a rust inhibitor and do the birchwood-casey route.