Here is the Ngram
Looking at examples in Google Books, I think it usually means to look outandlish, do something bizarre—perhaps from the belief that the Druids/Picts/Celts painted themselves blue.
You paint yourself blue and stand before your enemy, fearsome, naked, blowing a horn, in hopes of frightening them into retreat. U.S. News & World Report, Vol. 124, p.8 (1998)
"OK. Suppose Laneer said to her, 'Miss Farley, for the good of the business, I want you to strip, paint yourself blue, and go live in a tree like a Druid. I don't want you to ask me why. Just do it. I am depending on you.' How would she respond? Best Detective Stories of the Year 1978 (snippet view)
The same principle applies to you. You could put a lampshade on your head, paint yourself blue, and walk down Main Street singing "Yankee Doodle." As long as you didn't get arrested, you would probably eventually relax and learn that it doesn't matter what people think of you. But this would be a pretty tough thing to do and I doubt that you would ever do it. R. M. Rapee; Overcoming Shyness and Social Phobia: a Step-by-Step Guide (1998)
I looked to see if the Smurfs got involved, and, sure 'nurf, they did:
If you want to worship trees, worship trees. If you want to worship the Smurfs and paint yourself blue, go ahead. Jocelyn Zichterman; I fired God (2013)
Were the Picts Painted Blue?
Why did the Romans call these peoples the painted ones? Did the Picts paint themselves blue, similar to Mel Gibson in Braveheart? One thing we can be certain of is that Sir William Wallace did not paint himself blue. The producers of Braveheart were well aware of how widespread the idea of the Picts painting themselves blue was. And a mere fact that William Wallace came a thousand years later, would never stop them from going with an arresting visual.
So, where did the idea about the Picts painting themselves blue originate from? Julius Caesar once noted that the Celts got blue pigment from the woad plant and that they used it to decorate their bodies. There are no surviving historic accounts of woad being used in Scotland to paint human skin. People have, nevertheless, tried testing woad and found it much better at dyeing cloth than skin. Woad was, in fact, widely used in the Middle Ages for all types of cloths, including the tapestries. The Great Courses; "The Origins of the Celtic Picts"