Anodizing
The anodizing process involves some pretty nasty and EPA controlled solutions, so it is more than likely not something that you would tackle yourself. The process itself involves stripping the parts with a sulphuric acid etch bath to clean it and prep it, then dipping into an anodizing tank, dipping into a dye tank for color apply and ultimately a sealer bath. We have all of our aluminum parts here treated with either chem film or anodizing to prevent any oxidation.
You can have your aluminum treated but you will need to find a preferably local anodizing house (reduce shipping), make sure there is no clear coat on the aluminum (it needs to be raw) and the size of what you want to anodize may come into play as most shops have tanks of a particular size. Our anodizer uses tanks approx. 36" wide, 48" long, 48" deep. You will also need to specify whether you want standard anodizing or hard coat anodizing (both per MIL-A-8625). Standard works well but is somewhat easy to scratch through whereas hard coat builds up a thicker layer that is much harder and resists abrasion and scratching well. We usually pay around $80 for an odd size or one off lot for standard and usually around $105 per lot of hard coat.
I hope this helps. Let me know if you have any other questions.
Chris