I used to use the vinyl, until I found the powder paints.

I now use Pro Tec Powder paints.
The proper way to do it is to use a small propane torch to heat up the jig head, dip it in the powder, and bang off the excess. Make sure you don't overheat the jig head (couple seconds, but varies from size to size), and constantly FLUFF up the paint, this is a must!
Goto WalMart and pick yourself up a toaster oven. Sunbeam has a real nice one for $20 and it even comes with a timer. After you paint the jig heads, hang them on some kind of rack (make sure they aren't touching anything), and bake at 350 degrees for 20 minutes.
Hope this helps!
johnny