I have seen in person some colored stainless steel sculptures. I understand they are coated and perhaps baked in paints similar to those on motor car. Like cars, they can be highly buff polished and waxed. Perhaps some of Koon's earlier steel sculptures are coated this way.
But recently, as noticed by others here, his stainless steel sculptures are coated with colors that look transparent. One good example is his diamond sculptures that look like diamonds with different colors.
I don't expect Koons to do the painting and buffing himself. He just think through the ideas, investigate and pay to pursue them.