If you're going to paint chromed parts, strip the chrome first. It's easy and quick- just cover the parts in household chlorine bleach for about 20 minutes. The only time I wouldn't strip chrome before painting a chromed part would be when painting a wheel on which part of the wheel is supposed to remain chromed- like on the Tamiya GT2. Otherwise, strip it off!
As far as exhausts, I will yet again say I think chromed exhausts look unrealiatic and toylike. But if you're into that kind of thing- if I were to want chromed pipes on a Tamiya kit that came with chromed exhausts, I would definately strip the chrome off first, then repaint it. The chrome is going to be ruined when you scrape off the mold lines, may as well do it right by stripping the part, and then painting it a better shade. Clear blue and smoke on chrome will still look toylike.
No chrome here! Stripped it all off, and painted with Tamiya acrylics.