Personally, I would just do a full body repaint on that rather than try to remove the thermal paint. But then, I haven't tried to customize one of those yet so I don't know if it makes a difference in the finished product.
Anyway, I've found that using a thin layer of primer works wonders to get paint to stick to the ponies.
Look at a lot of tutorials, experiment, don't be afraid to mess it up.
Remember, it's never a mistake, it's an Artistic Choice!
Good luck!