Different squads can get shoulder pads with special colours or markings, to set them apart from the rest of the army, as well as tie the unit together. But all in all, its up to you how you like to paint them.
On my Spacewolves, as an example, I have used a blue colour for the main body but made the arms bleached bone to bring out the focus on personal strenght they like (I would have liked to make the arms free of armour, with bulging biceps and all, but it would have been to much work/expencive for the whole army

. In addition the shoulderpads have colours to mark their squad type.