Yep they advertise Thermo Quiets as their best. I called Autozone and they were totally cool with me just bringing the parts back to exchange for new ones but sure enough the new ones did the same thing. I put the old clips back in and everything was fine. (hope you kept those)
What brand brakes did you use? Did they come with new retaining clips?
I replaced brakes on my trans am with Thermo Quiet's and their clips don't fit the car right - they were barely, just barely rubbing on the rotors. Check those for scrape marks.
http://www.amazon.com/Performix-Plasti-Multipurpose-Rubber-Coating/dp/B000LNOOEO/ref=sr_1_1?ie=UTF8&qid=1345645768&sr=8-1&keywords=plasti+dip
My buddy painted his old subaru wheels with this stuff and it looks just like paint. I think he used two cans for all 4 wheels.