Personally I'd pack them away and keep them until you come to sell the car. Most secondhand buyers will probably accept that corrosion is the norm, and if yours haven't got too bad yet, they'll more than likely think they are pretty good.
There are quite a few really nice aftermarket wheels that suit the Golf really well. It would be nice to make your car personal to you, but be able to revert it back to standard to appeal to more people when you sell it.
Despite the initial outlay of new wheels, if you look after them, you'll be able to sell them on and recoup some money. If they depreciate by the amount of money you'll spend on a refurb/colour change, you've lost nothing. If you have another Golf that you might like to fit them on, it will save you the £1000+ wheel 'upgrade' option.