I do them completely, but if you put the dust in a plastic baggy, its easier to control how much you put on them, that way you can put how much you want into the bag, and then shake and bake them! Hope that helps!
This is what I do with my American Green Tree frog-put the calcium dust in a plastic bag, put the crickets in it and shake. I usually try to coat the crickets completely and my frog doesn't seem to have a problem with that.