Assuming the PFC's are the same as my beloved Porterfields then on my experience I would recommned using one of the coatings designed to prevent dust brake dust from sticking before driving anywhere. I think I use a Turtle wax one that comes in a bright green spray bottle and take extra care to ensure good coverage of all the leading edges and dust traps. I have also tried Zymol wax on the wheels with similar results, but find the former easier and cheaper!
As long as you wash the wheels thoroughly soon after a track day then it should come off very well, and I would definately agree with Dave about not letting them get wet, the particles seem to rust on and then need a lot of work to remove (with a toothbrush and an acid based cleaner in my case - however please note I'm not that worried about the appearance of my wheels as they're just badly home painted).
As regards it sticking to paint work, on my white car you can see the residue clearly building up on all the exposed edges of paintwork. Best to wash it off as soon as possible otherwise it will again rust on, however a clay bar will soon get any traces off, even after this. After a few thousand miles of this treatment I have not noticed any long term problems with my paint, although I suppose it's possible that clear coated paints might suffer more.