I modified the Bitaddress Bitcoin Wallet Generator to allow the generation of Scrypt driven brain wallets that are BIP38 protected.
http://goo.gl/ELvg7SI modified the original brain wallet tab to use Scrypt and made it easy to copy the resulting Private Key to the BIP38 tab to protect it with a password. (Incidentally, I also tore out some things I didn't want and changed the randomness pool mixer to make it more thorough.)
The usual caveats about never ever using brain wallets with less than 70 bits of entropy applies. Don't play with fire if you don't know how to estimate the entropy of the passphrase you use!
Download it to your machine, examine the code, run it offline and print your BIP38 protected cold wallets.
I use paper wallets with the Mycelium android client, which can decode BIP38 wallets and spend from cold storage. Mycelium is really nice about destroying the private key after spending from cold storage. Also, I can now keep the paper wallets in my pocket without worrying about losing them since they're encrypted.
