Caulking joints on the outside of the house will not save you energy and will not stop cold air drafts. That is because almost all sidings are vented specifically to allow the wind behind the siding to help keep the wall dry. If you do not have a modern sealed house-wrap all around your house under the siding, you will need to stop air leakage at the drywall or plaster level of the wall -- on the inside.
The good news is that you can use simple latex caulking here because it is not subject to the rigours of the weather. But there are some working tips.
Sealing up the frames around doors and windows is an important thing to do as these are probably the major draft sources in your house. If you are going to caulk the window trim directly to the wall, do not use transparent caulking. You may think that will look better, but in fact it looks terrible. You see the crack behind the caulking even more and the caulking will eventually yellow. Use a simple white paintable caulking.
If someone has already caulked with pure silicone caulking, you have certainly discovered that paint will not stick to the silicone. If you do want to use silicone indoors (overkill) then make sure it is a paintable silicone. If you are stuck with existing silicone, you can cheat nature by priming the silicone with a thin coat of contact cement. Let it dry thoroughly and then you can paint the silicone caulking.
The best way to deal with the frames around the window is to remove the trim, make sure there is insulation in the wall and then simply caulk over the insulation to join the drywall or plaster to the window frame. If the space is more than 3/8 of an inch wide, you will probably want to use the foam in a can, but don't try to fill the entire cavity with foam. This is both expensive and could expand enough to force the frame. Fill most of it with fiberglass and then foam in the last inch of gap.
Sometimes we want to temporarily close off a window for the winter. There are caulking specifically made to seal up windows and then peel the caulking off in the spring. ZIP is especially interesting because it uses orange peel based natural solvents. If there is a lot of condensation on your window that can come into contact with the temporary caulking, it will 'melt' the caulking. That is good thing to know when it is time to remove it -- if it doesn't all want to come off just soak it in warm water. That is a bad thing if you don't want a mess all winter long.
Many people use the modern very clear shrink wrap plastics over their windows, even over their patio doors for the winter. One trick to know is do not put the double sided tape on top of the trim, the plastic will tend to pull off, and maybe take some paint with it. Put the tape around the corner on the side of the trim. The angle of pull by the plastic is such that it will hold solidly and only come off when you are ready to remove it.
The last graphic above also points out some important places where you need to air seal to prevent heat and moisture from flowing into your attic. This is the absolute first step if you are trying to eliminate icicles from hanging off the roof.