You caulk interior trim to the wall make it look better as there will be gaps where it meets the wall. If you don't care about the gaps or there are not that many don't worry about it. If you do have to caulk it there is no way to keep the caulk off the walls and you will have to paint over this with the wall paint. I am not a big fan of tapeing trim but if you don't have a steady hand with a brush you can use a shield.

Caulking hides unsightly gaps in areas where the trim isn't sitting absolutely flat to the wall. If you plan to paint the trim white, I'd suggest you paint it (with or without tape) getting the least amount of trim paint on the wall as possible. When you're done painting, run some blue painters tape on the WALL about 1/8th of an inch out from the trim. Then run a bead of caulk where the trim and wall meet. Smooth with a damp finger. Immediately remove the tape from the wall, and you'll have a nice straight line of caulk on the wall. If you got a little trim paint on the wall, chances are the caulk will have covered it up. Because the caulk and the trim are both white, you won't notice if the caulk line isn't absolutely straight on the trim side.

Also suggest you use a really good paint, like Benjamin Moore's Impervo Satin (latex or oil) and use the proper type of brush for the finish. Do yourself a favor and buy a good paintbrush (around $20.00) Good Luck!